我国基金经理心理参考点调整特征的实证研究  

An Empirical Study on the Reference Point Adaptation of Fund Managers in China

作　　者：池丽旭[1] 庄新田[2] 

机构地区：[1]沈阳农业大学经济管理学院,沈阳110866 [2]东北大学工商管理学院,沈阳110004

出　　处：《系统管理学报》2012年第1期22-28,共7页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70871022);中央高校基本科研业务费资助项目(N090606002)

摘　　要：基于卡尼曼提出的前景理论构造了参考点调整模型,并通过实证研究方法检验了基金经理参考点的动态调整特征,全面考察了参考点变化与股票收益、基金持股成本、投资者情绪以及大盘指数之间的关系。结果发现,基金经理在盈利时提高参考点,在亏损时降低参考点,且后者调整的幅度大于前者;随着持股成本的增加,基金经理心理参考点的波动幅度增大;参考点的调整幅度随着投资者情绪的增加而逐渐降低;当大盘指数下跌时,基金经理迅速向下调整参考点,而当大盘指数上涨时,参考点向上调整的幅度较小,基金经理表现出对损失更敏感的特征。在以上考察的各影响因素的共同作用下,基金经理参考点的变化将直接影响其未来的投资决策行为。Based on the prospect theory （Kalhneman and Tversky, 2002）, this paper studies empirically the reference point adaptation of fund managers, and explores the relationships between reference point changes and stock market returns, shareholding costs ,investor sentiment and stock market index. The re- sults show that, fund managers raise their reference point slowly under profit, and lower their reference point quickly when they experience losses~ the reference point fluctuation becomes stronger when fund managers are holding high-cost stocks compared to low-cost stocks; investor sentiment is negatively related with reference point {luctuation~ The study on the relationship between stock market index and reference point show that fund managers are more sensitive to losses than gains. Influenced by the above factors, reference point adaptation directly affects the fund managers~ decision making and their investment behav- ior.

关 键 词：行为金融 前景理论 参考点 

分 类 号：F830.91[经济管理—金融学]