Market states and disposition effect: evidence from Taiwan mutual fund investors

We study the disposition effect across market states in the context of mutual fund investors in Taiwan. Using mutual fund data at the fund and individual levels during July 2001 to October 2008, we find that the disposition effect varies across market states. Our results suggest that investors redeem their mutual fund units more under a bear market than a bull market when they have extreme capital losses. When investors have moderate capital gains, they are less active in redeeming their mutual fund units under a bull market relative to a bear market. Under a neutral market, investors actively redeem mutual fund units in both winner and loser mutual funds except when they have extreme capital losses. Thus, disposition effect is not uniform; it varies by market condition. In addition, the disposition effect phenomenon also exists for Taiwan mutual fund investors as well. Our findings are robust to aggregate and individual investor levels.     

Holding on to the Losers: Finnish Evidence

Recent literature reports evidence on investor behavior that is inconsistent with traditional finance theory. One currently being debated is behavioral irrationality, the tendency of investors to hold losing investments too long and sell winning investments too soon, a phenomenon known as the disposition effect. We analyze the trading records of all individual investors in the Finnish stock market and document that capital losses reduce the selling propensity of investors. There is, however, no opposite effect identifiable with respect to capital gains. We also find, somewhat surprisingly, that both positive and negative historical returns significantly reinforce the negative association between the selling propensity of investors and capital losses. While these findings offer no direct support for the disposition effect, they do suggest that investors are loss averse.     

市场分割下中国股市反馈交易实证研究——来自A股、B股和H股市场的经验证据

文章在行为资本资产定价模型(BCAPM)的基础上,通过借鉴Watanabe(2002)的方法,建立了GJR-GARCHM(1,1)-M模型,充分考虑中国股票市场处于分割状态的现状,使用基本覆盖A股、B股和H股市场全部交易历史的市场指数日收盘价数据,对A股、B股和H股市场的反馈交易行为进行研究和比较,结果显示:A股和B股市场都存在显著的正反馈交易效应,反馈交易行为主要取决于波动率水平和市场涨跌两个因素;与成熟股票市场类似,H股和红筹股市场的正反馈交易行为不显著;A股市场的反馈交易行为受市场涨跌因素影响更大,而B股市场的反馈交易行为主要由波动率水平决定;深市比沪市更容易出现正反馈交易者主导市场的现象。文章的研究不仅对行为资本资产定价理论的成立提供了经验性证据,而且对投资经理的实践操作和政策制定者的监管调控都具有一定的参考价值。     

Throwing Good Money After Bad? The Impact of the Escalation of Commitment of Mutual Fund Managers on Fund Performance

Numerous prior studies refer to the potential existence of irrational investment behavior among mutual fund managers, such as disposition effect. However, the focus in such studies has been placed on the irrationality of their selling decisions, although similar problems may be inherent in their buying decisions. This study presents evidence that if mutual fund managers do display a tendency to escalate their commitment to losing stocks, there will be negative impacts on the performance of the funds. Managers continue to buy losers not because they judged to choose rationally but rather because of irrational escalation of commitment.     

Individual Characteristics and the Disposition Effect: The Opposing Effects of Confidence and Self-Regard

We conduct two experiments to examine potential causes of the disposition effect. In Experiment 1, we rule out beliefs in mean reversion as a cause of the disposition effect. Although a belief in the mean reversion of stock prices should be independent of whether an investor owns or only follows the stock, we show only investors who own the stock behave as though prices will reverse. In Experiment 2, participants buy and sell securities over multiple periods. We find that self-regard and investing confidence (two types of self-esteem) have opposing influences on investors’ tendency to hold losing investments. Investors with lower self-regard hold losing investments longer than those with higher self-regard, and investors with higher confidence hold losing investments longer than those with lower confidence. We focus on investors’ tendency to hold losing stocks too long because prior research suggests the gain versus loss sides of the disposition effect are driven by different biases.     

T+1 trading mechanism causes negative overnight return

The T+1 trading mechanism is unique in the Chinese stock market, thus providing a natural experimental field to study the trading mechanism and price behaviors. This paper proposes and proves that T+1 trading mechanism causes negative overnight return, the overnight return can serve as a proxy of the T+1 trading mechanism. The paper finds that the overnight return of the Chinese stock market is significantly negative, whereas those under the T+0 trading mechanism, such as China’s stock index futures, Hong Kong stocks, and major international indices, all have around 0 or positive overnight returns. T+1 trading mechanism has greater impacts on stocks with more divergent investor opinions, higher risk, more individual investor percentages, higher arbitrage restrictions, and less liquidity. The T+1 trading mechanism distorts the price generation mechanism of stocks. The paper contributes to the understanding of impact of trading mechanism on stock prices.     

From Returns to Tweets and Back: An Investigation of the Stocks in the Dow Jones Industrial Average

A sizeable percentage of investors are using social media to obtain information about companies (Cogent Research [2008]). As a consequence, social media content about firms may have an impact on stock prices (Hachman [2011]). Various studies utilize social media content to forecast stock market-related factors such as returns, volatility, or trading volume. The objective of this article is to investigate whether a bidirectional intraday relationship between stock returns and volatility and tweets exists. The study analyzed 150,180 minute-by-minute stock price and tweet data for the 30 stocks in the Dow Jones Industrial Average over a random 13-day interval from June 2 to June 18, 2014 using a BEKK-MVGARCH methodology. Findings indicate that 87% of stock returns are influenced by lagged innovations of the tweets data, but there is little evidence to support that the direction is reciprocal, with only 7% of tweets being influenced by lagged innovations of the stock returns. Results further show that the lagged innovations from 40 percent of stock returns affect the current conditional volatility of the tweets, while 73 percent of tweets affect the current conditional volatility of stock returns. Moreover, there is strong evidence to suggest that the volatility originating from the returns to the tweets persists for 33 percent of stocks; the volatility originating from the tweets to the returns persists for 73 percent of stocks. Last, 53 percent of stocks exhibit both immediate and persistent impacts from returns to tweets, while 90 percent of stocks exhibit both immediate and persistent impacts from tweets to returns. These results may help traders achieve superior returns by buying and selling individual stocks or options. Also, asset and mutual fund managers may benefit by developing a social media strategy.     

不同职业路径下基金经理变更对基金业绩的影响

本文对2003—2013年基金经理更换事件采用事件分析和面板数据回归进行研究。研究发现基金经理更换后基金业绩得到显著提升,此结论在牛市更显著。当基金历史业绩较好时更换基金经理对业绩没有影响;而当历史业绩较差时更换基金经理则会显著提升业绩。从职业发展路径来看,基金管理经验能有效提升基金经理的投资能力;之前具备资管经验的继任基金经理能够显著提高业绩;并且管理经验来自同一基金公司的继任基金经理更能改善业绩。     

基金投资行为及其股价效应

文章主要就基金投资行为及其股价效应的国内外文献进行综述.主要包括以下三个方面:一是在基金特有的制度安排下,基金投资中的参与主体行为将明显受到市场环境、内部治理结构等因素的影响,基金管理人及份额持有人会根据所处环境的变化动态地调整其行为;二是基金投资行为将影响到股票的流动性状况,同时由于基金具有专业和信息方面的优势,基金投资活动将不可避免地影响到股票的价格;三是当基金作为整体普遍采取策略性的交易行为,将导致市场发生趋势性的变化,其结果可能加速股价回归基本面,但也可能加剧市场波动.     

反转效应、负反馈交易与股价波动——基于面板数据的开放式基金投资策略研究

本文利用2002年至2007年基金交易数据,从不同的市场状态、公司规模、买卖股票的基金数量和行业特征等层面深入分析了我国开放式基金的交易策略、影响基金交易策略的因素以及基金交易对于股市波动的影响。实证结果表明：我国开放式基金所投资的股票在中期内并不存在动量效应,相反存在显著的反转效应,基金的投资行为也表现出明显的负反馈交易策略;与前期股票的买入比率相比,股票的收益率以及收益率的波动对基金投资策略的影响更为明显;开放式基金前期的股票交易会加剧当期的股价波动。     

个人投资者交易行为研究——来自台湾股市的证据

本文基于台湾股市数据,主要研究个人投资者的交易行为。参照Kaniel et al.(2008)构建了个人投资者交易不平衡性指标─净交易,以反映投资者股票交易的强度。采用这种交易不平衡性指标来构建投资组合研究个人投资者的交易行为。首先研究个人投资者交易和股票的收益之间的动态关系从而分析投资者的交易策略,然后研究个人投资者净交易的收益预测能力从而分析个人投资者交易的信息含量。本文研究发现:台湾股票市场的个人投资者采用负反馈的交易策略,并且个人投资者在交易中表现出很强的处置效应;个人投资者在交易中的信息含量不足;个人投资者交易中的盈利主要来自两个方面:过度反应和价格冲击。文章最后给出政策建议。     

Does High Stock Price Synchronicity Always Hurt Mutual Fund Industry? Sentiment Matters

Investors have agreed that high synchronicity of stock returns adversely influences professional funds' profitability. However, different market conditions where high synchronicity exists may have different effects on this relationship. This study incorporates aggregate investor sentiment as a market condition in the equation to explore whether and when the negative association between synchronicity and fund performance holds. The authors use a sample of actively managed U.S. equity mutual funds from 2000 to 2014 and employ a portfolio of 11 passively managed funds as the benchmark to measure fund performance and fund management skill. They find empirical evidence that synchronicity negatively impacts mutual funds' profitability when the investor sentiment is low. This negative relationship disappears in high-sentiment periods. They also find that in both low- and high-sentiment states, fund managers with superior stock selection skill make more profits from high synchronicity than the average.     

流动性与资产定价:基于我国股市资产换手率与预期收益的实证研究

流动性与资产定价是目前金融研究的热点之一 (O’Hara,2 0 0 3 )。本文通过检验交易频率零假设和交易成本备择假设 ,深入分析我国股市流动性与资产定价的理论与经验关系 ,发现 :我国股市存在显著的流动性溢价 ,换手率低、交易成本高且流动性小的资产具有较高的预期收益 ;产生流动性溢价的原因是交易成本而不是交易频率 ;与国外股市相似 ,小企业收益率高于大企业 ,价值股收益率高于成长股。因此 ,我国股市并非令人无法捉摸 ,流动性、规模和价值效应都是资产定价的因素     

中国股票市场交易型的价格操纵研究

本文研究中国股票市场的交易型价格操纵问题。我们推广了Mei、Wu和Zhou(2005)的模型,研究在市场不允许卖空的条件下,交易型价格操纵发生的条件。我们的主要结果有:(1)非充分理性投资者的存在和有限套利的制约是交易型价格操纵获利的重要原因,投机者套利能力越弱,操纵者的价格操纵越容易获利;(2)当市场中投机者的总禀赋大于0时,即使不允许卖空,价格操纵者依然可以操纵价格来获得利润;(3)如果市场监管者无法杜绝操纵者通过对敲等手段来拉抬股价,则在市场中引入卖空机制反而可以减小股价对基本面的偏离程度,从而在某种程度上限制操纵者操纵股价的空间;(4)在股价被操纵的过程中,存在一个建仓期和抛盘期;操纵期内换手率更高、股价波动更大;在建仓期,回报率与换手率,换手率与回报波动率之间存在正相关关系;(5)我们利用中国股市的数据检验了我们的结论,发现理论结果和实证数据非常吻合。     

股权激励能够抑制大股东掏空吗?

本文检验了股权激励对大股东掏空的抑制作用,结果发现,在控制了其他公司治理要素对大股东占款的影响之后,总经理持股或股权激励安排确实能够抑制大股东对上市公司的侵占,但是,股权激励的抑制效果不是线性增长的,即总经理持股比例与大股东侵占度不成线性关系。本文没有发现总经理持股比例超过5%时会产生堑壕效应,也没有发现所有制形式对股权激励效果有重大影响。本文的研究结果为正在进行的股权激励政策提供经验证据的支持,也丰富了股权激励的相关文献。     

卖空机制、股价信息含量与暴跌风险--基于融资融券交易的经验证据

文章利用我国逐步推出融资融券交易的自然实验机会,运用双重差分的研究设计,考察了卖空机制对股价反映负面消息效率的影响。文章以2007-2012年的数据为样本研究发现：相对于非标的股票,融资融券标的股票在成为标的之后,其股价对市场的向下波动及时做出了调整,使得股价对市场正负向波动反应之间的不对称性显著降低,表明标的股票更加及时和充分地吸收了有关公司价值的负面信息;同时,相对于非标的股票,融资融券标的标的股票在成为标的之后,其股价暴跌风险显著降低。文章结果表明,我国股市推出融资融券交易后,卖空机制提高了市场对标的股票负面消息的定价效率。     

融券制度与内部人寻租——来自准自然实验的经验证据

内部人寻租一直以来是理论与实务界关心的重点,如何有效抑制内部人寻租行为是资本市场的重大课题。本文以内部人交易度量内部人寻租,分析了融券制度对内部人寻租的影响。研究发现:(1)融券制度对内部人寻租有显著抑制作用,并且融券规模越大,内部人寻租越少。(2)相比于国有企业,非国有企业当中融券制度对内部人寻租的抑制作用更加明显。本文还将内部人交易分方向进行回归,结果显示融券制度对内部人寻租的抑制作用主要体现在卖出方向上。本文进一步分析了融券制度影响内部人寻租的路径,发现“竞争效应”和“信息效应”是融券制度影响内部人寻租的两条重要路径。本文考虑了竞争性解释——分析师关注的作用,发现分析师关注并不能影响本文结论的正确性;本文还利用反面事实推断、倾向得分匹配、反向因果检验等方法,确保实证结论的稳健性。本文的研究结果,丰富了内部人寻租的特征及影响因素研究,有利于市场监管部门加强对内部人寻租行为的控制;扩充了有关融券制度的文献,为卖空制度的推行及完善提供理论依据。     

业绩排名、市场状态与基金经理的风险调整行为:“争名”还是“逐利”?

业绩锦标机制下,不同的市场状态会影响基金经理的风险调整行为。薪酬激励与职业忧虑会使得基金经理在风险调整时做出不同的选择。本文以2006年至2010年间的开放式基金作为研究样本,利用基金中报与年报所公布的投资组合明细,分析基金业绩排名对于基金经理风险选择行为的影响,研究发现:牛市状态下薪酬激励占据了主导地位,促使基金经理在上半年业绩排名较低的情况下在下半年增加投资组合的风险以谋取最大化薪酬;职业忧虑则会使业绩排名产生的影响在熊市下正好相反。此外,研究还发现,市场年中收益越高即市场的表现"越牛",排名较低的基金经理相对于排名较高基金经理提升其投资组合风险的表现也越明显。     

Information Transmission Through Rumors in Stock Markets: A New Evidence

The authors provide new evidence of the influence of false rumors based on Taiwan's stock market. The results indicate significant patterns of abnormal returns and trading volumes surrounding the event day and that the rumors seem to be disseminated in the stock market before appearing in newspapers. The results also indicate asymmetry: Investors hearing a positive rumor about a stock may tend to buy the stock, prompting a price run-up until the rumor dies away, while negative rumors usually have greater and longer negative impacts on stock returns than positive rumors do. The presence of a daily price limit is negatively correlated to the size of abnormal returns and abnormal trading volumes on the event day, and the abnormal trading volumes are more sensitive to the price limit surrounding the event day. Finally, firm managers might receive rumor information earlier and then conduct stock trading before the rumor's announcement.     

股指期货套期保值效率比较研究——基于沪深300股指期货与新华富时A5指数期货

文章基于我国股票型基金十大重仓股构建投资组合,并利用沪深300股指期货与新华富时A50指数期货的日数据对这两种股指期货的套期保值效率进行比较研究,以探究两者在套期保值效率上的差异和造成差异产生的原因。在利用OLS、VECM和ECM-BGRACH等静态和动态套期保值模型和基于风险最小化的套期保值绩效指标对沪深300股指期货与新华富时A50指数期货的套期保值效率进行研究后发现,在静态最优套保比、时变最优套保比和套期保值绩效指标的比较中,新华富时A50指数期货都要优于沪深300股指期货。这种套期保值效率上的差异主要来自于两个金融工具间的合约与交易规则的差别。建议通过设立适当时间的晚间电子盘交易,并允许金融机构在规定的份额内进行期指套利交易,以提升沪深300股指期货在套期保值市场功能上的效率。