Critical Finance Review, 2016, 5: 351–398

過去業績也許是一種幻象：共同基金的業績、現金流以及傭金

作者：Blake Phillips (University of Waterloo), Kuntara Pukthuanthong (University of Missouri), P. Raghavendra Rau (University of Cambridge)

摘要：共同基金以标準化時間段内的持有期收益率（HPR）報告其業績。進入報告期的新收益和退出報告期的舊收益對HPR的變動有同等的影響。投資者似乎不能區分這兩種聯合決定因素，以至于對這兩種信号做出同樣強度的反應。對于通過廣告促進業績的基金來說，舊業績追逐被放大，并且在金融市場不确定的時期更加顯著。在舊業績追逐導緻投資者需求增加的情況下，基金經理傾向于通過提高傭金以利用投資者的這種行為。

關鍵詞：有限注意，行為金融，投資者心理，資本市場，水平效應，共同基金傭金設置

Past Performance May Be an Illusion: Performance, Flows, and Fees in Mutual Funds

Blake Phillips (University of Waterloo), Kuntara Pukthuanthong (University of Missouri), P. Raghavendra Rau (University of Cambridge)

ABSTRACT

Mutual funds report performance in the form of a holding period return (HPR) over standardized horizons. Changes in HPRs are equally influenced by new and previously reported stale returns which enter and exit the horizon. Investors appear unable to differentiate between the joint determinants, reacting with equal strength to both signals. Stale performance chasing is amplified for funds which promote performance via advertising and is more pronounced during periods of uncertainty in financial markets. Fund managers exploit this behavior by preferentially timing fee increases to align with periods of heightened investor demand resulting from stale performance chasing.

Keywords: Limited attention; Behavioral finance; Investor psychology; Capital markets; Horizon Effects; Mutual fund fee-setting

原文鍊接：http://cfr.ivo-welch.info/readers/pub/cfr-0032.pdf

翻譯：任兆月