开放式基金流动性赎回风险实证分析与评价

本基于Vikram Nanda，M．P．Narayanan(2000)的基金管理能力与流动性需求、流动性赎回风险关系模型的修正，研究结果表明，基金管理所预期的利润与其管理能力正相关，而与流动性成本和流动性需求的风险呈负相关；负担基金管理的边际能力相对于低流动性需求投资的数量和高流动性需求投资的风险而言是递减的；最低赎回费用与高流动性需求投资的风险和低流动性需求投资的相对稀缺性正相关。在此基础上对我国开放式基金的流动性赎回风险进行实证分析评价，并提出了几点政策建议。

On Evaluation of Liquidity Withdrawal Risk of Open-end Funds

The paper analyses modified mutual fund structure model (Vikram Nanda,M.P.Narayanan,2000),namely, fund management ability?liquidity need and liquidity withdrawal risk model. The results show that the manager's expected profit correlates positively with managerial ability, and inversely with the liquidity cost and the volatility of liquidity withdrawals; the ability of the marginal manager offering a load fund is decreasing in the number of type low investors and in the relative volatility (risk) of the liquidity needs of type high investors; the minimum exit fee correlates positively with the relative volatility of the liquidity needs of type high investors and the relative scarcity of type low investors. On the basis of these,the author empirically evaluates liquidity withdrawal risk of our open-end funds. In the end, several policy suggestions are put forward.