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Volatile market condition and investor clientele effects on mutual fund flow performance relationship

机译：波动的市场状况和投资者客户对共同资金流动绩效关系的影响

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摘要

We analyze mutual fund flow-performance relationship using a novel sample of Chinese mutual funds that trade in a volatile market environment. Consistent with existing literature, we find that the net flow to a fund is positively related to past fund performance. However, the positive flow-performance relationship weakens when the stock market is divided into high and low volatile periods or when funds are divided into good and poor performers. Contrary to previous studies using samples in the U.S. and other countries, our results do not exhibit an asymmetric flow-performance relationship, nor do we find any significant Morningstar rating effect or smart money effect. Furthermore, we find that the overall stock market performance is the primary driving force of flow-performance relationship and the positive relationship is more pronounced in bull markets. Consistent with Thaler and Johnson's (1990) house money effect and the overconfidence hypothesis proposed by Gervais and Odean (2001), this suggests that Chinese mutual fund investors are vulnerable to market conditions. The overall results imply that market conditions and investor clientele differences play an important role in fund investments and flow-performance relationships. (C) 2014 Elsevier B.V. All rights reserved.
机译：我们使用在瞬息万变的市场环境中交易的中国共同基金的新样本来分析共同基金的流动绩效关系。与现有文献一致，我们发现流入基金的净流量与过去的基金业绩呈正相关。但是，当股票市场分为高波动时期和低波动时期时，或者当资金分为业绩好者和差者时，正的流动绩效关系就会减弱。与以前使用美国和其他国家/地区的样本进行的研究相反，我们的结果没有显示出不对称的流量绩效关系，也没有发现任何显着的Morningstar评级效应或智能货币效应。此外，我们发现总体股票市场绩效是流动绩效关系的主要驱动力，而积极关系在牛市中更为明显。与Thaler和Johnson（1990）的房屋货币效应以及Gervais和Odean（2001）提出的过度自信假设相一致，这表明中国共同基金投资者容易受到市场条件的影响。总体结果表明，市场状况和投资者客户的差异在基金投资和流量绩效关系中起着重要作用。 （C）2014 Elsevier B.V.保留所有权利。

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