| As behavioral finance had been risen from the 1980s until now, the relative study has been much plentiful. In practice, the Momentum Trading Strategy (MTS) and Contrarian Investment Strategy (CIS) which are brought forth by behavioral finance have been applied by many investment institutions like investment funds. This paper studies on investment strategy of investment funds in terms of behavioral finance. MTS and CIS are the most important and well developed investment strategies in behavioral finance. This paper lays stress on them.This thesis has set forth purpose and significance studying first, summarizes the home and abroad studying current situation of MTS and CIS; Secondly, it makes an exposition of the background theory and the reasons of obtaining extra profits by adopting MTS and CIS; Finally, it adopts the ITM model created by Grinblatt, Titman & Wermers and improves the model by changing the parameter in it, then it analyzes the current situation and feature of MTS and CIS applied by open-end fund. Through analyzing difference of investment strategy in different period of stock market, this paper explores the influence brought by bearish market and bull market. It also refers to Jegadeesh and Titman's study in order to choose a better investment strategy, and provides practice experience for Securities Investment Funds to choose investment strategies.After study this paper gets following conclusions: In investment funds market of China, MTS and CIS have applied generally. Funds adopt different investment strategies according to stocks' performance in present quarter and in last quarter; It is bearish market or bull market has large influence on choosing strategies; Applying MTS according to stocks' performance in present quarter could increase investment funds' profit, however choosing either strategy has little relation with investment funds' profit according to stocks' performance in last quarter. |
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