个人基金投资者反向选择行为研究

发布时间：2018-04-13 00:08

本文选题：基金业绩 + 投资者投资行为　；参考：《南京理工大学》2017年硕士论文

【摘要】：开放式基金的申购赎回制度,保证了投资者可随时申购业绩表现好的基金,赎回业绩表现差的基金,对基金产品发挥了 "优胜劣汰"的作用。然而在现实的基金市场中,业绩上涨的基金反而可能会面临赎回压力,即投资者做出了 "反向选择",赎回了业绩表现好的基金。显然这既不利于投资者获得良好的投资回报,又增加了基金公司的管理压力,同时加剧了基金市场的波动。国内学者对此进行了大量研究,但主要研究对象是总体的投资者,而很少单独考虑个人投资者的行为表现。目前,我国证券投资基金市场已呈现明显的"散户化"状态,个人基金投资者已成为基金投资的主力军。因此对个人投资者的投资选择行为进行研究,具有重要的现实意义。本文将基金投资者区分为个人投资者与机构投资者,以不同类型投资者对偏股型与股票型基金的投资选择行为为研究对象,通过实证来验证个人投资者的"反向选择"行为并进行解释。具体而言,文章首先选取从2007年一季度到2014年四季度共96个季度(短期)与从2007年到2014年共8个年度(长期)的样本区间,运用固定效应的非平衡面板模型,对基金资金净流量与基金历史、本期业绩的关系进行回归分析,发现在短期、长期内个人投资者均会"反向选择";其次,从投资者对基金业绩持续性的预期以及投资者投资策略两个方向去解释投资者的行为,认为:个人投资者对持有基金业绩的持续增长缺乏信心,倾向赎回获利基金来锁住已得收益;如果前期的股市表现不好,更会增加投资者的不安情绪,个人投资者的动量追随策略也会驱使其提前收回获利基金。事实上,短期内基金业绩并不持续,投资者的"反向选择"行为,虽然不能使投资者获得最高的收益,但是可以帮助投资者锁住前期收益。而在长期内,基金业绩具有持续性,投资者的"反向选择"行为会使其不能得到良好的投资回报更有可能使其面临损失。最后,对基金资金净流量与未来业绩的关系进行回归分析,并结合GT投资组合变动法来检验投资者是否具有选择基金的能力,结果表明我国基金投资者并不具有选择基金的能力。根据实证结果,本文对个人投资者提出了相关建议:(1)培养风险意识以及分散投资观念;(2)要正确的认识基金,培养长期的投资观念;(3)加强金融理论学习,提升投资能力。
[Abstract]:The open-end fund requisition and redemption system ensures that investors can apply for the fund with good performance at any time, and redeem the fund with poor performance, which plays the role of "survival of the fittest" to fund products.However, in the real fund market, the fund with higher performance may face the pressure of redemption instead, that is, investors make a "reverse choice" and redeem the fund with good performance.Obviously this is not only bad for investors to obtain good return on investment, but also increases the management pressure of fund companies, and increases the volatility of fund market.Domestic scholars have done a lot of research on this, but the main object of study is the overall investors, but rarely consider the behavior of individual investors.At present, the securities investment fund market of our country has presented the obvious "retail investment" state, the individual fund investor has become the fund investment main force.Therefore, it is of great practical significance to study the investment choice behavior of individual investors.In this paper, fund investors are divided into individual investors and institutional investors.To verify the "reverse choice" behavior of individual investors and explain it.Specifically, the paper first selects 96 quarters (short term) from the first quarter of 2007 to the fourth quarter of 2014 and 8 years (long term) from 2007 to 2014, and uses the fixed effect non-equilibrium panel model.The regression analysis of the relationship between fund net flow and fund history, current performance shows that in the short term, in the long run, individual investors will "choose in the opposite direction"; secondly,To explain investors' behavior in terms of investors' expectation of fund performance sustainability and investor's investment strategy, it is believed that individual investors lack confidence in the continued growth of fund performance.The tendency to redeem profit-making funds to lock in gains; if the stock market does not perform well in the previous period, it will increase investor anxiety, and individual investors' momentum following strategy will also drive them to withdraw profit-making funds early.In fact, in the short run, fund performance is not sustainable, and investors'"reverse selection" behavior can help them lock up their upfront earnings, although they cannot achieve the highest return.In the long run, the performance of the fund is sustainable, and the investors' behavior of "reverse selection" will make it more likely to face losses if they fail to get a good return on their investment.Finally, the relationship between fund net flow and future performance is regressed, and the GT portfolio change method is used to test whether investors have the ability to select funds.The results show that Chinese fund investors do not have the ability to choose funds.According to the empirical results, this paper puts forward relevant suggestions to individual investors: 1) to cultivate risk consciousness and the concept of diversification. 2) to understand funds correctly and to cultivate long-term investment concepts. 3) to strengthen financial theory learning and to enhance investment ability.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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