预期反差与基金投资者赎回

Expectation Contrast and Fund Redemption

选取中国开放式普通股票型基金和偏股混合型基金,对基金投资者的预期反差效应进行理论分析和实证检验。研究发现:基金业绩的绝对排名一致,但相对排名相反,则赎回份额不同,说明基金投资者存在预期反差效应;基金业绩的不确定性会强化预期反差效应,而个人投资者持有比例则会弱化预期反差效应;预期反差引发的基金赎回是由投资者心理偏差导致的行为。证实了基金投资者存在预期反差效应,加深了对基金投资者行为的认识,这对于引导投资者长期投资具有一定的启示意义。

This paper uses the sample of China’s open-end common stock funds and partial stock hybrid funds from 2005 to 2019 to investigate expectation contrast effect of fund investors.The empirical results show that controlling for the fund’s absolute ranking,the fund’s relative ranking is negatively predicting redemption shares.This indicates that fund’s investors have expectation contrast effect.Moreover,the uncertainty of fund performance will strengthen the expectation contrast effect while the proportion of individual investors will weaken the expectation contrast effect.Finally,the fund’s redemption triggered by the expectation contrast effect is due to the psychology of investors.Our findings have important implications for regulation of investors’long investment.