This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling p...This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling positions of open-end fund investors in China. Results show that investors' buying and selling behaviors are significantly affected by fund performance. The reasons that lie behind such results are mainly related to the non-persistence of fund performance. When fund performance is non-persistent, investors are not clear about the future returns on funds. So, investors, especially individual investors, would have to realize the profits on hand immediately. Meanwhile, fund investors are highly sensitive to fund age and loading fees, but not sensitive to management fees charged by funds when they buy or sell fund shares.展开更多
This paper introduces the disposition effect into asset pricing process, and sets dynamic equilibrium model on which we can discuss the pattern of risk assets＇ returns. On base of theory results, we use data of China...This paper introduces the disposition effect into asset pricing process, and sets dynamic equilibrium model on which we can discuss the pattern of risk assets＇ returns. On base of theory results, we use data of China stock market to analyze the influence of disposition effect on stock return. The empirical study result confirms the disposition effect＇s existence in China stock market and it does affect the stock return.展开更多
文摘This paper explores the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analyzing a unique data set that consists of the buying and selling positions of open-end fund investors in China. Results show that investors' buying and selling behaviors are significantly affected by fund performance. The reasons that lie behind such results are mainly related to the non-persistence of fund performance. When fund performance is non-persistent, investors are not clear about the future returns on funds. So, investors, especially individual investors, would have to realize the profits on hand immediately. Meanwhile, fund investors are highly sensitive to fund age and loading fees, but not sensitive to management fees charged by funds when they buy or sell fund shares.
文摘This paper introduces the disposition effect into asset pricing process, and sets dynamic equilibrium model on which we can discuss the pattern of risk assets＇ returns. On base of theory results, we use data of China stock market to analyze the influence of disposition effect on stock return. The empirical study result confirms the disposition effect＇s existence in China stock market and it does affect the stock return.
