投資者外部性與401(k)退休計畫的投資選擇
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2012
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開放式共同基金提供的流動性機制讓投資者可以隨時依據基金淨資產價值要求贖回。當基金面臨因流動性需求所引起的大量贖回後，基金經理人因此需要執行偏離原本投資決策、滿足此流動性需求贖回後的交易，以重新建立基金投資組合部位。此種無利可圖的交易將對基金績效的表現有負面的效果，而此種負面效果將由仍未贖回的投資者所承擔，本研究將此負面效果定義為投資者外部性。本研究假設當401(k)退休計畫的參與者投資於以一般投資人為導向的基金時，相較於以機構投資者為導向的基金，一般投資人的贖回模式將使一般投資人為導向的基金承受較高的投資者外部性，也因此401(k)參與者持有以一般投資人為導向的基金，會有較低的報酬。我們也假設當401(k)參與者持有過去具有高投資者外部性的基金，在未來也將持續會有投資者外部性的問題並因此將有較低的持有報酬，我們認為此一問題為基金內生結構上的問題。使用美國401(k)退休基金所提供的1719筆基金資料、研究期間自1991年至2011年的研究結果支持本研究所提上述兩項假說並根據所有的基金樣本提供401(k)退休計畫投資選擇的建議。
Open-end mutual funds provide a great deal of liquidity to investors that they can redeem their shares at the fund’s daily-close net asset value on any given day. Following substantial outflows, fund managers need to engage in a material volume of uninformed, liquidity-motivated trading, resulting in an adverse effect on subsequent fund return. Such adverse effect is borne by the remaining investors staying in the fund, referring to investor externality. Retail-oriented funds selected by 401(k) pension plans actually pool 401(k) participants with relatively long investment horizons and less liquidity needs and retail investors with the opposite attributes. Using collected mutual fund data from 401(k) plans, we find that retail investors will impose negative investor externality on 401(k) participants in terms of lower buy-and-hold returns. We also find that the funds with high past investor externality suffer from the negative impact of investor externality, resulting in an adverse effect on participants who invest in such funds through sponsors’ 401(k) plans.
Open-end mutual funds provide a great deal of liquidity to investors that they can redeem their shares at the fund’s daily-close net asset value on any given day. Following substantial outflows, fund managers need to engage in a material volume of uninformed, liquidity-motivated trading, resulting in an adverse effect on subsequent fund return. Such adverse effect is borne by the remaining investors staying in the fund, referring to investor externality. Retail-oriented funds selected by 401(k) pension plans actually pool 401(k) participants with relatively long investment horizons and less liquidity needs and retail investors with the opposite attributes. Using collected mutual fund data from 401(k) plans, we find that retail investors will impose negative investor externality on 401(k) participants in terms of lower buy-and-hold returns. We also find that the funds with high past investor externality suffer from the negative impact of investor externality, resulting in an adverse effect on participants who invest in such funds through sponsors’ 401(k) plans.
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Keywords
投資者外部性, 401(k)計畫, 共同基金, investor externality, 401(k) plans, mutual fund