我国证券投资基金"处置效应"行为研究

根据证券投资基金每半年公告的投资组合变动情况,分析其卖出行为所反映出的投资行为特征,可发现我国证券投资基金作为一个整体并不具备"处置效应"特征;相反的,他们更愿意卖出亏损股票.这种特点突出表现在持有期较长的股票上.通过不同的实证分析方法以及相应的稳健性分析进行验证,所得出的结论是基本相同的,从而证实了这一特征是普遍的.这一研究对于建构相应的理论模型以解释金融市场的运行规律,具有重要的意义.

The "Disposition Effect": Behavioral Study of Mutual Fund in China

According to the changes of investment portfolios of mutual funds in the every-half-year report,we analyze the investment behavior features reflected in selling behavior.It is found that China's mutual fund as a whole does not bear the feature of "disposition effect".On the contrary,these deficit stocks would rather be sold.This feature is outstandingly manifested in the long-term stocks.Through different positive analysis methods and corresponding stable analyses,the conclusions are basically the same.Thus proves the universality of the feature.This study is of great significance to the construction of corresponding theory model.