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本文分析了基金规模变化中的资金流动对基金资产配置以及基金收益的影响及影响途径,研究结果表明,基金的资金流入增加了基金的持股只数,也增加了基金的持股比例。而持股个数较多和持股比例较高的基金,其风险调整后的超额收益也较大。结果表明我国基金具有流动性动机交易特点,揭示了基金的资产配置决策在克服规模不经济过程中的积极作用,并验证了基金规模不经济的流动性假说。
This paper analyzes the impact of fund flow on the fund asset allocation and fund returns in the changes of fund size. The results show that the inflow of funds increases the number of fund holdings and also increases the fund’s shareholding ratio. The funds held by a larger number of shares and a higher proportion of the risk-adjusted excess returns are larger. The result shows that the fund of our country has the characteristics of liquidity motivation transaction, reveals the active role of the fund’s asset allocation decision in overcoming the diseconomy of scale, and verifies the illiquid liquidity hypothesis.