An Empirical Study On The Flow Of Open Funds And Its Risk-adjusted Behavior

Securities investment fund have principal-agent problem since birth.Investors buy securities investment funds,their share holders enjoy investment income of the fund.Found assets under management by the fund manager with the fund contract.The fund manager to select assets of suitable risks and return in the capital market to construct the Fund's portfolio,the fund's performance is a direct result of the fund manager's investment decision making behavior.However,when the fund manager may be inconsistent with the interests of investors,fund managers may be maximized their own interests and against the interests of investors,therefore,in the fund market,investors"vote with their feet" Investors choose the fund manager and subscription or redemption fund according to the behavior of the fund managers.Subscription and redemption from fund investors led to net inflow and net outflows changed will directly affect the size of the funds,which in turn with the fund managers' pay and job promotion directly linked,then fund managers how to make a reaction to the subscription and redemption behavior of fund investors,what kind of risk-adjusted fund portfolio the manager make?It is worth studying the problem and the current academic ignored.In this paper,combining the theoretical derivation and empirical research method,from the perspective of an open fund flow of funds,research the flow of the open funds impact on the fund manager's risk-adjusted behavior with theoretical analysis and quantitative analysis.based on the research of domestic and foreign fund risk adjustment behavior relevant literature,we select a sample of open found in China between 2005 and2014,with a total number of 462 funds unbalanced panel data,using a fixed effects model of panel data for empirical research.The main contents include.(1)Based on the theoretical basis of portfolio theory,agency theory,fund performance tournament theory,the absolute risk aversion analyzes the flow of risk-adjusted capital fund to fund behavior of mechanisms;(2)based on the Championship System,empirical test of the Fund risk-adjusted performance behavior.Reference to Brown's(1996)grouping list method,research when the performance of the fund's early stage is good or bad,how the risk-adjustment reflect;(3)using fixed effects model with unbalanced panel data to find the influence of fund flows with fund risk adjustment behavior;and grouped according to different market cycles,analyze the differences in different market cycles fund risk adjustment acts;(4)using risk-adjusted excess returns as the proxy variables of fund's historical performance,with regression re-examination the fund historical performance impact on the fund's risk-adjusted behavior;(5)Verify whether the fund's risk-adjusted is effective.From the perspective of the flow of funds analyze their impact on fund managers' risk-adjusted behavior,reached the following conclusions.(1)fund flows have a significant positive impact on the fund risk adjustment behavior.Changes in fund flows on the behavior of investors' subscription and redemption will bring positive feedback at risk-adjusted.More fund inflows,stronger of the fund's risk tolerance,greater of the adjustment ratio.(2)compared to the bull market,when the market is in a bear market,the funds flow have greater inflection on funds risk adjustment,flow of funds in a bear market have a stronger feedback for fund's late stage risk adjustment.(3)The historical performance of fund have a negative correlation with fund risk-adjusted ratio,with a significant at 1%significance level,same with Brown(1996)and other scholars' results obtained by the two-dimensional group list law.In the early stage of fund with poor performance,the risk level of the fund will increase in late stage.(4)the greater the adjustment ratio,the higher performance of the fund in the future.the risk increase of fund can obtain a increase in return,so risk-adjusted behavior is effective.Finally,the conclusions of this study proposes policy recommendation related to four point.(1)From the perspective of individual market,participants should get rid of the temptation investment base on historical performance,build a value investment culture;(2)the establishment of investor subscription and redemption prediction mechanism;(3)specification fund managers' investment decision-making behavior;(4)strengthen supervision to prevent excessive risk-fund management companies'competition to protect the interests of investors.