【摘要】 本文发现基金份额中机构持有比例的上升可以显著缓解基金的窗饰程度。对此,本文的解释是机构投资者的存在使得基金经理更加难以通过窗饰效应吸引后续资金净流入,这将降低基金经理窗饰行为的收益从而削弱了其窗饰动机。进一步地,我们证实了机构投资者对窗饰效应—资金流量关系的这种弱化作用,根源在于机构投资者相比个人投资者更加理性,表现为机构投资者更加追逐风险调整后的收益,并具有显著为正的业绩-资金流敏感性,因此他们更加不容易被基金经理粉饰组合的表象所迷惑。更多还原

【Abstract】 In this paper we find that window dressing is a common phenomenon in Chinese mutual funds,meanwhile institutional holdings will diminish funds window dressing behavior,because it is hard to attract following cash flow through window dressing when institutional investors hold most of a fund’s share. Further more,we establish the facts that institutional investors are more performance chasing than individual investors,and they have positive sensibility of performance-cash flow relationship,which explain that why institutional investors will not be distracted by window dressing.更多还原