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  本文選題：行為金融　切入點：處置效應(yīng)　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：本文依據(jù)行為金融學(xué)的相關(guān)理論基礎(chǔ),通過對中國共同基金行業(yè)的實證分析,來研究基金經(jīng)理的決策制定過程。更進一步地,本文將重點檢驗決策制定過程中的處置效應(yīng)。處置效應(yīng)描述的是一種投資者的長期行為傾向：投資者傾向于在較短時期內(nèi)賣出其獲益的投資,卻選擇在較長時期內(nèi)繼續(xù)持有虧損的投資。先前關(guān)于處置效應(yīng)的相關(guān)調(diào)查和研究基本證實：在中國,個體投資者的投資決策中呈現(xiàn)出處置效應(yīng)。然而,處置效應(yīng)是否存在于機構(gòu)投資者之中?如果答案是肯定的,那么其影響因素又有那些?致力于回答這些問題,本文采用了2006-2012年度中國開放式股權(quán)基金的半年報和年報數(shù)據(jù),從實證分析的視角深入地考察了中國共同基金經(jīng)理的行為。了驗證處置效應(yīng),在合理的假設(shè)的基礎(chǔ)上,本文從178,251條記錄中計算出了38,742次賣出交易。其次,本文建立了兩種統(tǒng)計量來衡量處置效應(yīng),分別為平均持有期和PGR、PLR比率。更具體地,本文將用這兩個統(tǒng)計量來分別檢驗以下三個問題：中國共同基金行業(yè)中是否存在處置效應(yīng)；金融危機對處置效應(yīng)的影響；以及性別差異對處置效應(yīng)的影響。經(jīng)過檢驗：總體說來,中國開放式基金呈現(xiàn)出顯著的處置效應(yīng)。更進一步地,對于金融危機背景下的處置效應(yīng),本文進行了更加深入的研究。結(jié)果表明,投資者在金融危機的情況下更容易賣出其虧損的投資。此外,本文還展開了關(guān)于處置效應(yīng)的性別對比分析。研究表明相比于男性,女性的基金經(jīng)理表現(xiàn)出更強的處置效應(yīng)。
[Abstract]:Based on the theoretical basis of behavioral finance and empirical analysis of mutual fund industry in China, this paper studies the decision-making process of fund managers. This paper will focus on examining the disposal effect in the decision-making process. The disposal effect describes a long-term behavioral tendency of investors: investors tend to sell their profited investments in a relatively short period of time. Previous investigations and studies on disposal effects have proved that in China, individual investors have a disposal effect in their investment decisions. Does the disposal effect exist among institutional investors? If the answer is yes, what are the factors that affect it? In order to answer these questions, this paper studies the behavior of Chinese mutual fund managers from the perspective of empirical analysis by using the semi-annual report and annual report data of China's open-end equity funds in 2006-2012, and verifies the disposal effect. On the basis of reasonable assumptions, 38,742 selling transactions were calculated from 178,251 records. Secondly, two kinds of statistics were established to measure the disposal effect, which are the average holding period and the PGRN PLR ratio. This paper will use these two statistics to test the following three problems: whether there is a disposal effect in the mutual fund industry of China, the impact of the financial crisis on the disposal effect; And the effect of gender differences on the disposal effect. After testing: generally speaking, China's open-end funds show significant disposal effect. Further, in the context of the financial crisis, the disposal effect, The results show that investors are more likely to sell their loss-making investments in times of financial crisis. Women fund managers show a stronger disposition effect.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

【共引文獻】

相關(guān)碩士學(xué)位論文 前5條

1 杜微微;中國機構(gòu)投資者處置效應(yīng)研究[D];浙江大學(xué);2011年

2 陳永耀;基于信念和偏好的處置效應(yīng)成因研究[D];中南大學(xué);2009年

3 王建朝;處置效應(yīng)、大股東減持行為及其經(jīng)濟后果研究[D];重慶大學(xué);2012年

4 朱文生;處置效應(yīng)在我國基金投資中存在性的檢驗及其影響研究[D];蘭州商學(xué)院;2013年

5 于文婷;處置效應(yīng)對基金業(yè)績的影響[D];上海交通大學(xué);2012年

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本文編號：1588405