This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling p...This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling positions of open-end fund investors in China. Results show that investors' buying and selling behaviors are significantly affected by fund performance. The reasons that lie behind such results are mainly related to the non-persistence of fund performance. When fund performance is non-persistent, investors are not clear about the future returns on funds. So, investors, especially individual investors, would have to realize the profits on hand immediately. Meanwhile, fund investors are highly sensitive to fund age and loading fees, but not sensitive to management fees charged by funds when they buy or sell fund shares.展开更多
On the basis of fractal theory, one of the nonlinear theories, this paper studies the validity of Chinese fund market fractal time sequence through Hurst exponent, calculates the H value and proposes a new close-end f...On the basis of fractal theory, one of the nonlinear theories, this paper studies the validity of Chinese fund market fractal time sequence through Hurst exponent, calculates the H value and proposes a new close-end fund mean reversion model. Meanwhile, this paper validates the mean reversion time sequence for consecutive 54 week data of fund market. The result indicates that this model can effectively prove that Chinese close-end fund market follows the biased random walk. The research also proves that the fund discount does have mean reversion tendency and averagely the fund with high discount has a higher excess yield than that of the fund with low discount. The mean excess yield and the ratio between discount rate deviation and standard deviation demonstrate a descending relationship. The optimum investment period based on ＂mean reversion＂ is one month. Consequently this model provides a new arbitrage method through the discount of close-end fund.展开更多
文摘This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling positions of open-end fund investors in China. Results show that investors' buying and selling behaviors are significantly affected by fund performance. The reasons that lie behind such results are mainly related to the non-persistence of fund performance. When fund performance is non-persistent, investors are not clear about the future returns on funds. So, investors, especially individual investors, would have to realize the profits on hand immediately. Meanwhile, fund investors are highly sensitive to fund age and loading fees, but not sensitive to management fees charged by funds when they buy or sell fund shares.
基金Supported by Chenguang Plan Project of Science and Technology Bureau in Wuhan (20065004116-11)
文摘On the basis of fractal theory, one of the nonlinear theories, this paper studies the validity of Chinese fund market fractal time sequence through Hurst exponent, calculates the H value and proposes a new close-end fund mean reversion model. Meanwhile, this paper validates the mean reversion time sequence for consecutive 54 week data of fund market. The result indicates that this model can effectively prove that Chinese close-end fund market follows the biased random walk. The research also proves that the fund discount does have mean reversion tendency and averagely the fund with high discount has a higher excess yield than that of the fund with low discount. The mean excess yield and the ratio between discount rate deviation and standard deviation demonstrate a descending relationship. The optimum investment period based on ＂mean reversion＂ is one month. Consequently this model provides a new arbitrage method through the discount of close-end fund.
