摘要
本文首先介绍了前景理论,将研究期间分为业绩上涨和业绩下降两个阶段,对基金份额赎回的外部效应进行了推导,并将前景理论与外部效应结合分析了基金赎回的处置效应。提出3条假设,利用2007—2009年季度数据,建立基金赎回率与收益率、基金分红等因素之间的面板数据模型,对基金赎回的处置效应进行了实证检验。研究发现:无论是在基金业绩上涨时期还是下降阶段,基金的收益率与基金的赎回率呈显著负相关,特别是在基金业绩下降阶段,投资者选择了赎回基金份额,并没有体现出处置效应。最后,从稳定基金规模的角度出发,本文认为牛市中的净申购与熊市中的净赎回均不利于基金份额的稳定,会给基金的运作带来困难。
This paper first describes the prospect theory,and derives the external effects of redemption of fund shares from two periods,and analyzes the disposition effects of fund shares through combining with the prospect theory.It puts forward three assumptions.Using the quarter panel data from 2007 to 2009,it establishes the panel data model about redemption rate and yield and fund bonus,and empirically studies the disposition effect of fund redemption.The results show that,when fund performance falling,there is the significant negative correlation between fund＇s yield and fund＇s redemption rate.Particularly,in the decline phase of fund performance,investors choose to redeem fund shares,and the disposition effect is not be reflected.Finally,from the perspective of fund shares stability,it considers that the net subscription in bull market and the net redemption in bear market are all not conducive to the stability of fund shares,which brings the difficulties to fund operation.
出处
《技术经济》
2010年第11期110-114,共5页
Journal of Technology Economics
基金
教育部人文社会科学研究项目"基于风险约束的委托组合投资管理PBF合同研究"(08JA63003)资助
安徽财经大学研究生科研创新基金项目"我国证券投资基金业绩:假说与检验"(ACYC2009061)资助
关键词
证券投资基金
处置效应
前景理论
外部效应
securities investment fund
disposition effect
prospect theory
external effect
