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在过去的研究中大多在争论共同基金投资人是否具有选择共同基金的能力,本文尝试以共同基金整体的投资流量来建构投机需求,并且检验共同基金投资人是否具有择时能力,或者是其仅为情绪所驱使投注资金。本文的研究得到几个有趣的结果。第一,本研究证实共同基金流量所形成的投机需求可以解释资产报酬,且其可能为定价因子;第二,在时间序列的证据上,投机需求能正向解释其后6个月到1年的报酬,高投机需求会伴随高报酬,显示基金投资人具有择时能力;第三,长期而言,高投机需求会预测长期的负报酬,该结果显示笨钱效果存在;第四,进一步分析定价误差以及投机需求的关系,本研究发现投机需求除了投资人投资能力之外,亦有可能是部份的情绪投资人所驱动;第五,检验高低投机需求时期和股票报酬波动性的关系,发现不同投机需求的情况下,投资人对于安全以及高风险的股票会给予不同的评价;第六,利用投机需求敏感度来建立投资组合,可以有效增加共同基金投资人的投资绩效。
Most of the previous studies argue whether mutual fund investors have the ability to choose mutual funds. This paper attempts to construct the speculative demand based on the investment flows of mutual funds, and test whether the mutual fund investors have the ability to choose the time or only Emotional driven betting funds. The research in this paper has got several interesting results. First, the present study confirms that the speculative demand created by mutual fund flows can explain the return on assets and that it may be a pricing factor. Second, on the chronological evidence, speculative demand can explain positively the next six months to a year Third, in the long run, high speculative demand will predict long-term negative returns, the results show that the effect of stupid money exists; Fourth, further analysis of the long-term, Pricing errors and the relationship between speculative demand, this study found that speculative demand in addition to investor investment capabilities, may also be driven by some emotional investors; Fifth, test the level of speculative demand and the volatility of stock returns, Find different speculative demand, investors will give different evaluation for safety and high-risk stocks. Sixth, using the sensitivity of speculative demand to establish a portfolio can effectively increase the investment performance of mutual fund investors.