证券投资基金惯性反转投资行为实证研究
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财经研究 2006 年 第 32 卷第 10 期, 页码：27 - 35
摘要
参考文献
摘要
文章依据行为金融的理论和研究方法,通过改进的GTM模型,以基金重仓持有的股票相对于上证综合指数的超常收益率来构造赢家组合和输家组合。对24支偏股型开放式基金和49支偏股型封闭式基金,从1999年1月到2006年3月的投资行为进行研究。结果表明在交易策略上,中国的证券投资基金整体采用惯性交易策略,但倾向于买过去表现好的股票,尤其是收益率高于同期上证综合指数收益率的股票;不倾向于卖出过去表现差的股票,即采用高买高卖的策略。惯性交易估计值在考虑有新股票进入时显著大于其他各种情况,这表明基金经理在选择新股进入投资组合时追涨的行为十分明显。
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[2]吴世农,吴育辉.我国证券投资基金重仓持有股票的市场行为研究[J].经济研究,2003,(10):50～58.
[3]徐妍,林捷,裘孝锋.证券投资基金投资行为对市场影响研究[J].申银万国综合月报,2004,(1):1～15.
[4]游智贤,姚瑜忠.台湾共同基金操作策略之研究[J].Journal of Financial Studies,2000,(8):49～71.
[5]Badrinath G,Wahal S Momentum.Trading by institutions[J].Journal of Finance,2002,57(12):2449～2477.
[6]Choe H,B C Kho,RStulz.Doforeigninvestors destabilize stock markets?The Korean experience in1997[J].Journal of Financial Economics,1999,5(2):227～264.
[7]Debondt,Thaler.Does the stock market overreact?[J].Journal of Finance,1985,40(6):793～805.
[8]Hong H,Stein J.A unified theory of underreaction,momentumtrading and overreact ionin asset markets[J].Journal of Finance,1999,54(6):2143～2184.
[9]Jegadeesh N,Tit man S.Returns to buying winners and selling losers:I mplication for stock market efficiency[J].Journal of Finance,1993,48(1):65～91.
[10]Grinblatt M,Tit man S,R Warmers.Momentuminvest ment strategies,portfolio per-formance,and herding:Astudy of mutual fund behavior[J].American Economic Re-view,1995,85(5):1088～1105.
[11]Grinblatt M,MKeloharju.Theinvest ment behavior and performance of various inves-tor types:A study of Finland’s unique data set[J].Journal of Financial Economics,2000,55(1):43～67.
[12]Lakonishok,J A Shleifer,R Vishny.Contrarian invest ment,extrapolation,and risk[J].Journal of Finance,1994,49(5):1541～1578.
[13]Pinnuck M.Stock preferences and derivative activities of Australian fund managers[J].Accounting and Finance,2004,144(1):97～120.
[14]Sirri E P,Tufano.Costly search and mutual fund flows[J].Journal of Finance,1998,53(5):1589～1622.
[15]Wermers,Russ.Mutual fund herding and thei mpact on stock prices[J].Journal of Fi-nance,1999,54(2):581～622.
引用本文
谢赤, 禹湘, 周晖. 证券投资基金惯性反转投资行为实证研究[J]. 财经研究, 2006, 32(10): 27–35.
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