经济危机背景下中国共同基金经理的决策制定:实证与比较分析

发布时间：2018-03-09 11:50

本文选题：行为金融　切入点：处置效应　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文依据行为金融学的相关理论基础,通过对中国共同基金行业的实证分析,来研究基金经理的决策制定过程。更进一步地,本文将重点检验决策制定过程中的处置效应。处置效应描述的是一种投资者的长期行为倾向：投资者倾向于在较短时期内卖出其获益的投资,却选择在较长时期内继续持有亏损的投资。先前关于处置效应的相关调查和研究基本证实：在中国,个体投资者的投资决策中呈现出处置效应。然而,处置效应是否存在于机构投资者之中?如果答案是肯定的,那么其影响因素又有那些?致力于回答这些问题,本文采用了2006-2012年度中国开放式股权基金的半年报和年报数据,从实证分析的视角深入地考察了中国共同基金经理的行为。了验证处置效应,在合理的假设的基础上,本文从178,251条记录中计算出了38,742次卖出交易。其次,本文建立了两种统计量来衡量处置效应,分别为平均持有期和PGR、PLR比率。更具体地,本文将用这两个统计量来分别检验以下三个问题：中国共同基金行业中是否存在处置效应；金融危机对处置效应的影响；以及性别差异对处置效应的影响。经过检验：总体说来,中国开放式基金呈现出显著的处置效应。更进一步地,对于金融危机背景下的处置效应,本文进行了更加深入的研究。结果表明,投资者在金融危机的情况下更容易卖出其亏损的投资。此外,本文还展开了关于处置效应的性别对比分析。研究表明相比于男性,女性的基金经理表现出更强的处置效应。
[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.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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