我国基金投资者的处置效应——基于交易帐户数据的持续期模型研究

The Disposition Effect of the Institutional Investors: the Duration Model Based on Transaction Data

本文建立既考虑“内在时间”(inherent tim e)影响,又处理了样本数据审查(censored)问题的持续期模型,采用4只投资基金的31万多帐户交易数据作为样本,系统研究了我国基金投资者的处置效应。结果表明:尽管基金的周转率远低于股票交易周转率,基金投资者仍然存在明显的处置效应;在控制投资者持有基金的时间对其条件卖出概率的影响后,证实基金投资者的处置效应不但与投资者的累计盈亏有关,而且与基金近期的涨跌有关。本研究还发现:机构投资者的处置效应要弱于个人投资者,前景理论效应并不明显。在相同条件下,年龄越大的投资者持有基金的时间较长,处置效应也越明显。

This paper establishes the duration model by taking into account the inherent time and employing 310,000 transactions data censored for 4 mutual funds,and observes the disposition effect on the institutional investors.The results show that there is obvious disposition effect on institutional investors although the turnover ratio of mutual funds is lower than that of stocks.The disposition effect is not only related to the accumulated earnings but also related to the volatility by considering the impact of the investors' holding time on the conditional selling probability.The study also discovers that the disposition effect on institutional investors is less than that on individual investors.The effect of the prospective theory is not obvious.Under the same condition,the older investors have longer holding time and there is greater disposition effect.In addition,gender does not play an important role in the conditional selling probability.