不同规模下基金业绩对投资风格漂移的影响研究

Research on the Influence of Fund Performance on Investment Style Drift under Different Sizes

摘要: 本文采用实证研究的方法，以国内二百多支开放式普通股票型基金为研究对象，采用时间和个体双固定效应模型研究了基金业绩与投资风格漂移的关系。研究发现：(1) 开放式股票型基金的投资风格漂移现象与基金业绩负相关，即基金业绩越差，基金越有可能发生投资风格漂移的现象；(2) 基金规模会加大基金业绩与投资风格漂移的负相关关系，即基金规模越大，同样差的基金业绩下基金发生投资风格漂移的可能性越大。

Abstract: Using the method of empirical research, this paper studies the relationship between fund performance and investment style drift by using time and individual dual fixed effect model with more than 200 open-end common stock funds in China. The findings are as follows: (1) The investment style drift of open-end stock funds is negatively correlated with fund performance, that is, the worse the fund performance, the more likely the fund is to experience investment style drift; (2) Fund size will increase the negative correlation between fund performance and investment style drift, that is, the larger the fund size, the greater the possibility of investment style drift under the same poor fund performance.