我国基金投资者存在处置效应吗？——基于国内某大型开放式基金交易的研究

摘要

以基金为代表的机构投资者队伍在我国资本市场发挥着日益重要的作用，但有关基金投资者行为的研究还比较缺乏。本文利用国内某大型基金管理公司提供的基金投资者交易数据，运用生存模型研究了我国基金投资者的处置效应。实证结果显示我国基金投资者表现出明显的处置效应，同时，我们还发现男性投资者和投资经验丰富的投资者相对表现出较低程度的处置效应。进一步的研究发现投资者的处置效应是非理性的，它减少了基金投资者的投资收益。%Institutional investors such as mutual funds play an increasingly important role in China＇ s capital market, but there are still not enough studies on the behavior of investors who put their money into mutual funds. This paper applies a unique dataset from a big fund management company in China to investigate the disposition effect of fund investors using survival model. The empirical results show that fund investors display disposition effect, and male investors and more experienced investors display less disposition effect. Further studies indicate that investors affected by disposition effect realize a lower return.