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本文构建基金营销与正常资金流动模型,修正我国基金自由资金流动指标,研究基金的智钱效应。选取2005—2012年的开放式基金数据,采用Carhart四因子模型对基金投资组合的研究发现,我国基金市场存在明显的智钱效应,自由资金流入的组合每年超额收益为5.2%—6.6%,比自由资金流出组合收益率显著高出2.3%—4.9%。固定效应和系统GMM模型结果表明,自由资金流动与基金业绩显著正相关,自由资金每提高1%,基金业绩提高0.04%—0.13%。进一步的研究发现,自由资金流动显著提高了基金资产配置的私有信息含量,也增加了基金资产组合投资的深度,本文的研究为智钱效应的原因提供了一种可能的解释。
This paper constructs the model of fund marketing and normal capital flow, amends the index of free flow of fund in our country, and studies the effect of the money-wise-money of the fund. Choosing the open-end fund data from 2005 to 2012 and using Carhart’s four-factor model to find the fund investment portfolio, we find that there is a significant money-smart effect in the fund market in our country. The annual excess return of free cash inflows is 5.2% -6.6% Portfolio yield of free cash outflow was significantly higher than 2.3% -4.9%. The results of the fixed effects and system GMM models show that there is a significant positive correlation between free flow of funds and the performance of the fund. With every increase of 1% of free cash, the performance of the fund is increased by 0.04% -0.13%. Further research found that the free flow of funds significantly increased the private information content of the fund’s asset allocation and also increased the depth of fund portfolio investment. This study provides a possible explanation for the reason of the smart money effect.