基金投资者“追涨杀跌”与基金动量  

Fund Investors' Chasing Behavior and Fund Momentum

作　　者：陆震 LU Zhen(Zhongrong International Trust)

机构地区：[1]中融国际信托 [2]中国人民大学财政金融学院 [3]中融信托博士后科研工作站

出　　处：《金融市场研究》2023年第10期89-97,共9页Financial Market Research

摘　　要：研究使用引入止损机制后策略的年化收益率提升测度每只股票基金的基金动量:只有当基金收益率数据生成过程中的自相关系数大于基金自身的夏普率时,止损才能改善收益。回测显示,股票基金普遍存在动量。进一步,使用横截面回归模型分析个人投资者持有份额比例、个人投资者持有份额变化幅度对基金动量的影响。研究发现:个人投资者持有份额占比更高的基金往往有着更高的基金动量,但二者存在反向因果关系;控制基金特征后,发现基金投资者的“追涨杀跌”是基金动量的重要来源。This paper measures the fund momentum of each mutual fund using the increase in annualized yield once a stop-loss strategy is introduced.Only when the autocorrelation coeficient in the process of generating fund returns exceeds the Sharpe ratio of the fund itself can stop losses improve returns.Back-testing shows that stock funds generally have momentum.By analyzing the impact of the proportion of shares held by individual investors and the changes in shares held by individual investors on fund momentum,it is found that funds with higher proportions of shares held by individual investors tend to have greater momentum,though there is an inverse causal relationship between the two.After further controlling the characteristics of the fund,it is found that the irrational behavior of fund investors in"chasing up and killing down"is an important source of fund momentum.

关 键 词：公募基金 基金动量 行为金融 止损 

分 类 号：F832.51[经济管理—金融学]