我国开放式基金启发式偏差行为及其对基金投资绩效的影响

本文根据行为金融学的理论,利用计量经济学方法对中国开放式基金的投资看涨情绪变动指标和市场收益率变动指标的相关关系进行检验,以考察开放式基金是否具有锚定启发式偏差,并进一步考察基金投资心理预期对其投资绩效的影响。研究发现,中国开放式基金表现出一定程度上的锚定启发式偏差,但不明显,并且开放式基金这种非理性的投资心理会对其短期投资业绩产生负向影响,而对中长期业绩的影响却是正向的。     

开放式基金锚定启发式偏差对其绩效的影响——基于行业超额收益率的视角

本文利用最小二乘法对我国开放式基金的投资看涨情绪变动指标与行业超额收益率的相关关系进行了检验,考察开放式基金作为一个整体在各个行业上是否存在锚定启发式偏差,并进一步设计指标衡量单只开放式基金的锚定启发式偏差程度,利用BB动态面板模型考察了锚定启发式偏差对基金绩效的影响,发现基于行业当期超额收益率的锚定启发式偏差显著利于提高投资绩效,而基于行业历史超额收益率的反转启发式偏差对投资绩效的影响不大.     

我国证券投资基金的积极资产组合管理能力研究

本文以19支开放式基金和23支封闭式基金为研究样本,通过改进PCM模型,设计适用于非有效市场或弱有效市场的指标S,来考察我国证券投资基金在2005年1月1日至2007年6月30日这段研究区间内的积极资产组合管理能力,并对开放式基金和封闭式基金的积极资产组合管理能力进行比较分析。研究发现,开放式基金和封闭式基金均有较强的积极资产组合管理能力;封闭式基金的积极资产组合管理能力整体要高于开放式基金,特别是在上涨和震荡行情中;同时,市场走势的波动也会对基金的积极资产组合管理能力产生一定的影响。     

突出性思考与封闭式基金投资者锚定效应

摘要：已有研究证实投资者存在锚定效应,但对锚定效应内在机理的探究稍显不足。本文基于突出性理论,通过理论推导证明突出性思考和锚定效应的关系,进而对我国封闭式基金投资者锚定效应与突出性思考的关系进行实证检验。研究发现：突出性思考是锚定效应产生的原因,封闭式基金锚定比率突出性程度越高,投资者采取买卖行为的概率将会越大;当封闭式基金具有突出的高锚定比率时,会激励投资者卖出基金,反之则会激励投资者买入基金。     

我国证券投资基金的积极资产组合管理能力研究

本文以19支开放式基金和23支封闭式基金为研究样本,通过改进PCM模型,设计适用于非有效市场或弱有效市场的指标S,来考察我国证券投资基金在2005年1月1日至2007年6月30日这段研究区间内的积极资产组合管理能力,并对开放式基金和封闭式基金的积极资产组合管理能力进行比较分析.研究发现,开放式基金和封闭式基金均有较强的积极资产组合管理能力;封闭式基金的积极资产组合管理能力整体要高于开放式基金,特别是在上涨和震荡行情中;同时,市场走势的波动也会对基金的积极资产组合管理能力产生一定的影响.     

创业板投资行为分析

创业板具有更大的不确定性,行为心理的作用更为突出,因而行为金融学的解释更具说服力。本文通过引入保守性偏差的DHS模型分析发现,只有在满足条件时,才会产生反应过度,目前创业板仍处于调整中的反应不足状态。在主要机构投资者中,基金的保守性偏差最弱,归因性偏差最强,但基金行为整体还是比较理性的。与基金相比,个人投资者的保守性偏差较强,锚定效应更突出,这种行为心理使他们的投资行为明显滞后,在投资群体中处于弱势地位。     

惯性投资策略对股票收益惯性影响的实证研究——基于证券投资基金经理投资行为

选取沪深两市2003年6月至2007年6月共55只封闭式基金与18只开放式基金及其重仓持有的126支股票为研究对象,通过构建MT指标考察中国证券投资基金经理惯性投资策略对股价惯性的影响.研究表明,中国开放式基金经理大多倾向于采取追涨杀跌的惯性投资策略,并且惯性收益随MT值的上升而上升,说明证券投资基金经理的惯性投资策略影响了重仓股股票的惯性收益.     

排名对基金销售影响几何

由于股票型开放式基金以证券市场为主要投资对象,市场走势势必直接影响投资者对基金未来收益的预期.本研究表明,在中国,指数的涨跌与基金流量申购率显著正相关.     

考虑生存偏差现象的我国封闭式基金绩效持续性研究

生存偏差是进行我国封闭式基金绩效研究不可忽视的问题。本文选取2001-2009年我国54只契约型封闭式基金为样本,研究了生存偏差对封闭式基金绩效持续性的影响。结论认为,我国封闭式基金生存偏差效应显著为负,所估计得到的生存偏差效应值介于每年-4.97%至-0.34%之间;退市基金规模较小、绩效较高是导致这一结论的主要原因;同时,研究发现,生存偏差会减弱封闭式基金绩效持续性。     

中国证券投资基金的需求与其风格“标签”关系的实证分析

对于以组合管理为基本方法的证券投资基金,由于其投资风格选择的不同会导致投资者对其投资偏好的差异,加之证券市场的非有效性和投资者的非完全理性,投资者对基金的投资决策更多基于心理动机和行为因素的判断。本文运用行为组合理论,对我国证券市场封闭式基金的折价状况进行了考察,分析了证券投资基金投资风格选择对基金需求的影响及我国证券市场投资者的需求特点和偏好状况。     

Herd behaviour & investor sentiment: Evidence from UK mutual funds

The aims of this paper are to detect evidence of institutional investor herding behaviour and examine the role that investor sentiment plays in institutional investor herding behaviour. The herding behaviour is investigated by examining the dispersion of time varying beta of UK open-end and closed-end funds. The study finds evidence of fund managers' herding behaviour, which suggests they are likely to herd on market portfolio, size, and value factors. UK market-wide investor sentiment index is used for investigating the effects of investor sentiment on institutional herding behaviour. We find a unidirectional investor sentiment effect on the herding of UK mutual fund managers. We also reveal that the sentiment factors affecting UK open-end and closed-end fund managers herding behaviour are different due to the differences in fund structure.     

Investor Sentiment and the Closed-End Fund Puzzle

This paper examines the proposition that fluctuations in discounts of closed-end funds are driven by changes in individual investor sentiment. The theory implies that discounts on various funds move together, that new funds get started when seasoned funds sell at a premium or a small discount, and that discounts are correlated with prices of other securities affected by the same investor sentiment. The evidence supports these predictions. In particular, we find that both closed-end funds and small stocks tend to be held by individual investors, and that the discounts on closed-end funds narrow when small stocks do well.     

Canadian Investors and the Discount on Closed-End Funds

We explore the role of the discount on closed-end funds (CEFD) in asset pricing and test its validity as a proxy for investor sentiment in the Canadian stock market. Results show that CEFD is not a priced factor. Both cross-sectional and time-series tests confirm that stocks with different exposures to CEFD do not have significantly different average returns. CEFD does not even provide incremental explanatory power after controlling for firm characteristics and risk factors. Furthermore, CEFD fails to be a proxy for investor sentiment with no correlation to either the consumer confidence index or flows to open-ended funds.     

Investor Sentiment and the Closed‐end Fund Puzzle: Out‐of‐sample Evidence

In this paper we examine the proposition that small investor sentiment, measured by the change in the discount/premium on closed‐end funds, is an important factor in stock returns. We conduct an out‐of‐sample test of the investor sentiment hypothesis in a market environment that is more likely to be prone to investor sentiment than the USA. We fail to provide supporting evidence for the claim of Lee et al. (1991) that investor sentiment affects the risk of common stocks. Consistent with Elton et al. (1998) , who show that investor sentiment does not enter the return generating process, our tests do not detect investor sentiment in a capital market that is more susceptible to small investor sentiment. Our results provide additional support against the claim that investor sentiment represents an independent and systematic asset pricing risk.     

Bid-Ask Spreads,Information Asymmetry,and Abnormal Investor Sentiment: Evidence from Closed-End Funds

Using a sample of closed-end equity funds listed on the NYSE from 1994 to 1999, we investigate differences in spreads and adverse selection costs between the closed-end funds and a matched sample of common stocks. We find that spreads and adverse selection costs for the closed-end funds are significantly lower than those of control stocks. The results are consistent for the subperiods both before and after the minimum tick size change on NYSE on June 24, 1997. The differences of spreads and adverse selection costs cannot be attributed to the differences in the characteristics of the closed-end funds and the matched sample of common stocks. Lastly, we find that abnormal investor sentiment and adverse selection costs of closed-end funds are positively correlated over time.     

Does Sentiment Explain Closed-end Fund Discounts? Evidence from Bond Funds

This paper documents that discounts and premia on closed-end bond funds exhibit the same sensitivity to broad market returns as stock fund discounts. Despite this, stock funds sell on average at discounts from net asset value while bond funds sell at small premia. This pattern calls into question the conclusion that the average level of the discount rate can be rationalized by appealing to the systematic nature of discount risk. These results indicate that appeals to investor sentiment, which have been hypothesized as a source of fund discounts, do not fully resolve the puzzle of closed-end fund discounts.     

How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data

We test the impact of investor sentiment on a panel of international stock markets. Specifically, we examine the influence of investor sentiment on the probability of stock market crises. We find that investor sentiment increases the probability of occurrence of stock market crises within a one‐year horizon. The impact of investor sentiment on stock markets is more pronounced in countries that are culturally more prone to herd‐like behavior, overreaction and low institutional involvement.     

Investor Sentiment and Stock Returns: Evidence from Turkey

This paper investigates the relation between investor sentiment and stock returns on the Istanbul Stock Exchange, employing vector autoregressive (VAR) analysis and Granger causality tests. The sample period extends from July 1997 to June 2005. In the VAR models, stock portfolio returns and investor sentiment proxies are used as endogenous variables. Two dummy variables accounting for natural and economic crises are used as exogenous variables. The analysis results suggest that, excepting shares of equity issues in aggregate issues, stock portfolio returns seem to affect all investor sentiment proxies, namely closed-end fund discount, mutual fund flows, odd-lot sales-to-purchases ratio, and repo holdings of mutual funds. Investor sentiment does not appear to forecast future stock returns; only the turnover ratio of the stock market seems to have forecasting potential.     

赎回权的价值与封闭式基金折价率研究——兼论“封转开”方案设计

本文比较了封闭式基金与对等的开放式基金之间的差异，认为缺少赎回权是封闭式基金产生折价的主要原因。在一个具有完全择时能力的封闭式基金投资者的假设条件下，本文推导并证实了赎回权价值上限和隐含折价率下限计算公式。基于赎回权，本文提出了“封转开”方案设计的一个新思路，希望对市场上正在热烈讨论的“封转开”问题有所启示。     

投资者情绪是导致我国投资者对市场信息出现反应偏差的原因吗：基于贝叶斯分位数回归模型的研究

本文使用贝叶斯分位数回归模型实证分析包含投资者情绪的投资者最优选择模型,结果表明：投资者情绪对于股票收益率存在非线性的正向影响,这是造成投资者对于市场信息出现反应偏差的一个重要原因.同时,市场信息和投资者情绪指标对于我国股票收益率都有着较大的影响作用;当股票出现不同涨跌幅时,市场信息对于股票收益率的影响有着较大的差异性.而考虑了投资者情绪指标之后,投资者对于市场信息的反应偏差明显减小,说明投资者情绪是造成我国投资者对于市场信息出现过度反应和反应不足的重要原因.我国投资者应该树立起良好的投资意识和心态,避免潜在的投资损失.