经过二十余年的发展，公募基金成为了我国资产管理行业中广受学术界和业界关注的细分板块。近年来公募基金的繁荣与资管新规的影响紧密相关，在资管新规对于标准化资产和净值型产品的鼓励之下，符合政策导向的公募基金行业成为了大量资产配置需求的承接方，市场占有率持续提高，是资管新规影响下增长最快的子行业之一。然而，“基金管理人赚钱但基金投资者不赚钱”的讨论也随着行业的迅猛发展而愈发热烈，在此背景下对于智钱效应进行研究具有较强的实践意义。 智钱效应指投资者资金流入的基金未来业绩优异而资金流出的则表现不佳，投资者具有明智地选择基金的能力，而中国市场智钱效应的研究结论始终存在争议。随着对公募基金配置意愿的提升，规模与结构日新月异的投资者表现出了与过去不同的行为特征，基金选择能力也随之改变，对这一时期内智钱效应的变动进行针对性地分析能够为解决智钱效应结论的争议提供助益，具有一定的理论意义。 有鉴于此，本文以中国市场主动管理型的开放式权益类基金为研究对象，通过资管新规前后智钱效应组合业绩的对比，分析各类投资者智钱效应在资管新规影响下的变化。在此基础上，本文通过双向固定效应面板数据模型检验了资管新规对投资者资金选择因素的调节效应，探讨了投资者的异质性，并通过分组回归进一步剖析了业绩和营销与资金流相关性产生变化的影响机制。 通过研究资管新规对于个人和机构投资者智钱效应表现与资金选择因素影响的异同，得到以下主要结论：首先，个人投资者和机构投资者的智钱效应在资管新规影响下呈现出不同的变化趋势；其次，资管新规影响下投资者资金选择特征发生了相异的改变，个人投资者在资管新规后展现出更强烈的明星基金追逐倾向而机构投资者则降低了对明星基金的超额资金流入，反向的变化带来了投资者智钱效应变动的异质性；最后，基金营销投入与业绩的关系在资管新规后发生转变，从而影响了营销投入对资金的吸引力，展现了资管新规对于基金市场的整体性影响。 本文从政策冲击带来基金市场变化的角度对于智钱效应进行了探究，通过创新的视角和具有时效性的样本为过往研究结论的争议提供启示。同时，在资管市场进入新的发展时代之际，本文的研究成果能够为公募基金相关监督管理体系的发展提供参考，也能为基金管理人和投资者在新市场格局下的决策提供依据。
After more than twenty years of rapid development, China’s mutual fund market has attracted widespread attention from both academia and industry. The prosperity of mutual funds in recent years is closely related to the landing of the New Regulatory Requirements for Asset Management. The mutual fund industry, which is in accordance with the encouragement of standardized and net-worth products, has been the undertaker of a large number of asset allocation demands, witnessed a constant growth in market share and become one of the fastest-growing sub-industries in asset management. However, the discussion of "Fund managers make money but fund investors don‘t." has become much more heated with the swift development of the industry. In this context, it is of strong practical significance to study the smart money effect. The smart money effect refers to the ability of investors to choose funds wisely as funds with inflows outperform those with outflows, and the findings on the smart money effect in the Chinese market have always been controversial. As the demand for mutual fund rises, investors with changes in size and structure have demonstrated different behavioral characteristics than in the past, bringing changes to the overall fund selection capabilities. A targeted analysis of the variation in the smart money effect over this period can provide assistance in resolving the controversy over the conclusions of the smart money effect and is of certain theoretical significance. On the ground of the above, this paper takes open-ended equity funds with active management in the Chinese market as the research objects, and analyzes the changes of various types of investors’ smart money effects based on the comparison of smart money portfolio performance before and after the New Regulatory Requirements. Furthermore, this paper examines the moderating effect of the policy on investors’ flows through a two-way fixed-effects panel data model, explores investor heterogeneity, and also analyzes the impact mechanism of the changes arising from the correlation between performance, marketing and flows through group regression. Through studying the similarities and differences in the influence of the New Regulatory Requirements on the smart money performance and flow considerations, the following main conclusions are obtained. Firstly, impacts of the New Regulatory Requirements on smart money effects are heterogeneous between individual and institutional investors. Secondly, the opposite change of investors’ flow characteristics sheds light on the heterogeneity. Individual investors have shown a stronger tendency to chase star funds while institutional investors have reduced the excess inflow comparing to pre-policy period. Thirdly, the relationship between marketing and performance has shifted in the wake of the policy and has thus affected the attractiveness of marketing fees to inflows, demonstrating the overall impact of the policy on the mutual fund market. In a nutshell, this paper explores the smart money effect from the perspective of structural changes in mutual fund market due to policy shocks, providing insights into the controversy over past research findings through innovative perspectives and current samples. Meanwhile, as the asset management market enters a new era of development, the research results can provide reference for the progress of the relevant supervision and management system of mutual funds, as well as the decision-making basis for fund managers and investors in the new market landscape.
