| Since the 21st century,China has vigorously promoted the process of industrialization and urbanization,and its neglect of the environment has gradually made air pollution in our country one of the most serious problems faced by people.Chinese government has paid great attention to the problem of air pollution.In 2018,the State Council issued the "Three-Year Action Plan for Wining the Blue Sky Defense War",which listed pollution prevention as one of the three maj or battles.Since 2018,the Ministry of Eeology and Environment,.together with relevant departments in various places,has thoroughly implemented the decisions and deployments of the Party Central Committee and the State Council on winning the blue sky defense war.On March 1,2021,the Ministry of Ecology and Environment announced the successful conclusion of the "Three-year Action Plan for Winning the Blue Sky Defense War".On the other hand,public funds have become an increasingly important asset allocation method for residents.According to the statistics of CICC,since 2003-2020,the proportion of institutional investors in the free float market value of the stock market has increased significantly,while the proportion of individual investors has dropped from 95.4%in 2003 to 51.8%in 2020.This is an increasingly obvious trend.Air quality affects the stock market,which has reached a consensus in academic area.So will air quality affect the ever-expanding fund market?This is a research topic with important practical significance in the context of "distribution to retail investors".This article aims to provide a new reference plan for studying the income of public funds from an environmental perspective.It can provide guidance for individual investors to choose appropriate buying and selling points for investment funds,and predict fund returns,and can provide new environmental considerations for fund managers’ position adj ustments.The main work done in this paper is as follows:1)Based on the existing research,this paper first sorts out the domestic and foreign literature on the impact of environmental factors on financial asset income,and sorts out the research status and conclusions of the subject of air pollution affecting financial asset income.Pollution affects the return of public funds to provide a theoretical basis.2)Starting from the three channels through which air quality affects the stock market(emotional channels,attention channels,and policy channels),try to further improve the internal mechanism of air pollution on fund income,and qualitative analysis applies to two types of investors which are professional investors(fund managers)and non-professional investors(individual investors).3)In terms of quantitative analysis,this paper selects the daily yield data and the air quality index(AQI)of 443 open-end equity funds established on the market for more than 3 years from October 1,2015 to October 1,2020.Construct a fixed-effects model to do a preliminary exploration of th e relationship between the two,and carry out the robustness test of the group regression and the analysis of the transmission mechanism.The study found that the deterioration of air quality has a negative impact on the daily income of the fund,and the higher the quality of the air,the lower the tolerance of investors for the deterioration of air quality,and the greater the negative effect.In terms of transmission channels,air pollution affects fund returns by influencing the investment decisions of fund managers and retail investors:in the fund manager channel,air quality affects the investment decisions that fund managers prefer to hold positions by influencing market concerns in polluting industries;In terms of retail investors channels,air quality affects investors’ sentiment and market participation,and affects retail investors’ investment decisions in and out of the market.We believe that individual investors should pay attention to the behavior of frequently changing fund holdings during emotional fluctuations.According to the negative correlation law of the air quality index(AQI)and fund returns,make predictions on fund returns and find appropriate buying opportunities.For fund managers,they should pay more attention to changes in attention and income brought about by changes in air quality for the targets of high-pollution industries,reduce their positions in high-pollution industries when air quality deteriorates,and increase position for high-pollution industries when air quality improves. |
