零售基金流量和业绩：监管数据的启示

IF 5.6 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2024-02-01 DOI:10.1016/j.ememar.2024.101111

Martin Hodula , Milan Szabo , Josef Bajzík

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引用次数: 0

摘要

本文探讨了零售股票共同基金的流入和流出模式与过去和未来业绩的关系，这些业绩来自捷克共和国每月详细的基金证券持有量。我们发现，散户投资者在总体流动性不足时，以及在投资于持有更多流动性不足资产的基金时，会对糟糕的业绩表现变得敏感。此外，我们还发现，在面临流动性不足和业绩恶化的情况下，业绩不佳的股票投资基金的投资者购买量较低，赎回申请的比例较大。在散户投资者面临可支配收入限制的时期，我们也观察到类似的投资者行为。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Retail fund flows and performance: Insights from supervisory data

This paper explores inflows and outflows patterns in retail equity mutual funds related to past and future performance derived from detailed monthly security-level holdings of funds in the Czech Republic. We find that retail investors become sensitive to bad performance in times of aggregate illiquidity and while investing in funds that hold more illiquid assets. Moreover, we document that when facing illiquidity and deteriorating performance, under-performing equity investing funds experience lower investor purchases and a larger share of redemption requests. We observe similar investor behaviour in periods when retail investors face constraints on their disposable income.

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.