处置效应对基金业绩的影响

发布时间：2018-01-01 02:29

本文关键词：处置效应对基金业绩的影响　出处：《上海交通大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文选取了行为金融中的处置效应作为课题，研究其对基金的业绩影响。首先，建立在现有的研究结论基础上，采用Odean(1998a)的卖盈卖亏比例指标，并创新性的添加了市场指标作为参考点组成部分之一，选取代表不同风险因子的基金300多支，研究其处置效应强弱；其次建立在对处置效应结果的观察分析上，，将时间分为市场上行和下行两个阶段，更加精准地研究处置效应在不同市场环境下对基金业绩的影响。本文认为处置效应对基金业绩影响度较大，具体如下：第一，在普通股票型基金、偏股型混合基金和平衡型混合基金三类基金中，前两者表现出很明显的处置效应。并在市场上行时，处置效应变小，而市场下行时，处置效应变大。第二，市场下行时，处置效应对基金业绩的影响度变大，但是解释度变小；当市场上行时，处置效应对基金业绩的影响度变小，但是解释度却变大。第三，总体上股票型基金的处置效应对业绩影响要大于偏股型混合基金。
[Abstract]:This paper selects the disposition effect in behavioral finance as the subject, to study its effect on the performance of the fund. Firstly, based on the existing research results, using Odean (1998a) to sell the surplus to sell loss ratio index, and innovative add a market index as the reference point part of selected more than 300 fund representatives different risk factors, study the dispositioneffect; secondly based on the observation and analysis of the disposition effect on the results, the time is divided into two stages upstream and downstream market, research on disposition effect on fund performance in different market environment more accurately.
This paper holds that the effect of disposal effect on the performance of the fund is great, and the following is as follows:
First, in the common stock funds, hybrid funds partial shares mixed fund and the balance of the three funds, both show the disposition effect obviously. And in the upstream market, the disposition effect becomes small, and the market downturn, the disposition effect becomes larger. In second, when the market down, influence of disposition effect the fund's performance of larger, but the interpretation of smaller; when the market upside, influence the disposition effect on fund performance for smaller, but the interpretation was larger. In third, the overall effect of disposition effect on the performance of equity funds than partial shares of hybrid funds.

【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.91

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