| China’s open-end funds has experienced a rapid development times since the beginning of this century, and has now become the mainstream of China’s fund market.However,the liquidity risks incident to the encouraging achiev-ements,which are caused by the inventors’general and large-scale redemption also should arouse our attention. According to the current research at home and abroad, fund performance plays a very important role in the investors’ decision of subscription and redemption.Thus,the reasonable relationship between fund performance and investment (also are called PFR for short: Performance-flow-Ralationship) become an important incentive mechanism for a healthy and orderly development in China’s open-end funds market. Relevant studies, however, found that the foreign fund FPR mechanism for excellent performance is "incentive excessive" while "insufficient punishment" for poor performance fund. Even the domestic mechanism function as "reverse incentive" and "bad-optimal tide".All in all,futher study of open-end funds PFR has very important significance,both for the rich of the theory and for a reasonable and orderly Fund PFR mechanism in China.Based on the relationship between partial shares of open-end fund performance and rate of fund subscription,this article attempt to analyze the relationship between them in the whole stage and envoronment separated into bull and bear market. Also, with the influence of open-end fund investment flows in control, we examine the interactions between the open-end fund performance and rate of fund subscription. In addition, the stock marketmovements, fund dividends, the fund size and other factors are also analyzed as the influencing factor to the rate of fund subscription.The full text of this article is divided into five parts, the first part introduces the research background, significance of the topic, the research objects, research methods and main research ideas and the innovation and disadvantages of this article; The second part is the literature review and part3to5part is the main part of this paper.In the part2of this article,the research at home and abroad related the relationship between the open-end fund performance and rate of fund subscription and redemption as well as other factors are reviewed, and then summarizes the scholars’theoretical explanation on the open-end fund subscription and redemption.Part3, from the perspective of institutional economics, analyze the the principal-agent theory hidden in the mechanism of open-end fund redemption. As the fund investors as a consignor and the fund managers as an agent have different interest demand, in the case of asymmetric Information problems caused by the investors’inadequate supervision, information asymmetry cause, fund managers easy to produce the "moral hazard", the fund managers are prone to "moral hazard". To prevent fund managers from this "moral hazard", we introduce open-end fund redemption mechanism to give investors the right to vote with their feet. Under the pressure of competition, fund managers will strive to improve the income of the fund,which then become certain behavioral constraints for fund managements.The paper then use the prospect theory of behavioral finance to explain the phenomenon of abnormal net redemptions in China’s open-end fund market, mainly involving the certainty effect, reflection effect and loss aversion. Based on this,the paper give a thoery and logical reason to the main factors of the open-end fund investors to subscription and redemption behavior.After the above analysis,part4of this article use the data from the second quarter of2006to the fourth quarter of2011,which are came from the76partial shares of open-end fund established before2006,as sample,using ordinary panel data model to make empirical research for the Fund PFR. At first, data from the whole sample stage are studied,the main conclusions is that the correlation between the rate of sight income and subcription of the open-end fund is negative while positive between rate of early gains and subscription, but significance is not strong,means that the redemption behavior among our state’s open-end fund investors is still irrational."Net redemption " still exists.In addition, the empirical results of other influencing factors are analyzed and explained, the main conclusions are as follows:the fluctuation risk of the fund’s sight income and subcription of the open-end fund, indicating that investors are risk-averse rational; Meanwhile,the fluctuation rate of the fund’s historical income revealed a significant positive correlation with subcription of the open-end,meaning that fund investors have a lucky speculative psychology for the fund with high historical rate. The research results of the size of the fund is definitely opposite to the conclusion of foriegn references.The larger the scale of our states’open-end fund, the lower the rate will be. Fund dividends, securities rate of returns and whole subscription rate in fund market are all in positive correlation with subcription of the open-end fund; Capital cost, fund prices the negative.Again meets down, the whole sample data is divided into a bear market phase from the second quarter of2006to the third quarter of2007and the bull market from the fourth quarter of2007to the fourth quarter of2011. The result of the investigation is that in the two different stages of the market, the PFR relationship China’s open-end fund with the whole sample data are basically the same. A slightly different is, during the bull, the correlation between the rate of early gains and subscription is no longer significant while the sight rate of income become more sensitive,indicating that in the bull market investors pay more attention to short-term operation; And in a bear market,the fomer one become more significant, showing that in a bear market investors tend to invest for a long time. In addition, in a bull market phase, The reaction to a number of factors becomes more sensitive while in the bull market the bahaviors are relatively gender.And then with the sustainability of the flow of funds in control, this article uses dynamic panel data regression to study the relationship of partial shares of open-end fund performance and subscription in our country, and draw the conclusion that when add the lag perid of the rate of open-end fund subscription as an explanatory variables, there are still negative relations between open-end fund net subscription rate and sight income, and early gains the opposite; In turn, the lag perid subscription rate plays a positive role on fund performance, but the sight rate has negative effect.The end of this article summarizes the above-mentioned empirical conclusions and puts forward some suggestions that can improve China’s open-end fund PFR.The main innovations of this paper are: First, using the latest data samples and expanding the sample time interval as far as possible. China’s open-end fund has been established just for a short time, and most of them are quarterly, so there are many limitations in the choice of sample interval. Because this paper devided the whole data into bull market and the bear market, the paper chose the76partial shares of open-end fund established before2006, getting a total of23quarters of data collected from20062nd quarter to the fourth quarter of2011, which is the latest and most complete data so far. Using the latest data and carrying out a systematic research and empirical analysis of open-end fund PFR and other factors.Second, improvements in research methods and study perspective. Compared to the least squares method to the empirical study of open-end fund PFR, this paper chose ordinary panel data regression and dynamic panel data regression. The rate of open-end fund performance and other factors were given a more comprehensive analysis and research:a distinction between the full sample data and bull market, bear market phase, were investigated of the different relationship; Examining the open-end fund performance and the subscription in a dynamic perspective,which means stripping the effect of sustaination of the funds’flows, making the relationship between the two is closer to the true relationship. |
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