Reseach On The Disposition Effect And Its Influence Factors Of Institutional Investors In China

With the development of behavioral finance in recent years,people find that some phenomena which cannot be explained by traditional finance theories can be well explained by behavioral finance theories.The study of behavior finance has become a hot topic in the field of Economics and Finance,and disposition effect is one of them.By studying and researching on it,scholars found that domestic individual investors tend to sell the profit stocks and keep the lost ones when doing investment decision-making.But whether this phenomenon is suitable for investment activities of the institutional investors haven't come to a unified conclusion.In the view of the institutional investors play a quiet important role in securities market,and their rapid expansion has been regarded as wind indicator by the individual investors.Therefore it is quiet important to make the research on the investment behavior characteristic of institutional investors.Except studying if there exist disposition effect on the institutional investors,make the research on the influence factors also have strong theoretical and practical significance.This paper critically absorbs and learns from the literature and academic point of view on the disposition effect and similar studies.Then choose 42 funds which are all founded in the earlier of 2015.And collect the details of the equity investment in quarterly reports of every fund in China from 2015 to 2018.Form the first period equities in portfolio investment and the first tenth bulk-holding stocks in the following quarters as the sample of the paper.By using the time dependent covariates survival analysis(COX)to test the disposition effect and its influence factors of institutional investors.The empirical results show that,there is disposition effect among the institutional investors.And the fund managers characters has no influence on the disposition effect of the institutional investors;the worse fund performance tend to cause stronger disposition effect of the institutional investors;the larger fund scale tend to cause stronger disposition effect of the institutional investors;the shorter the fund management company has been founded tend to cause stronger disposition effect of the institutional investors;the smaller the fund management company scale tend to cause stronger disposition effect of the institutional investors;and the worse market condition tend to cause stronger disposition effect of the institutional investors.As for the disposition effect among the institutional investors,this paper offers some proposals from three aspects:policy aspect,institutional investors themselves and the regulars aspect..And about the influence factors of institutional investors,this paper hold the opinion that fund manager characters have no influence on the disposition effect of the institutional investors,so when choosing a fund,people should not pay much attention on the fund managers.Then give some suggestions on the fund factors that managers should allocate the assets rationally and optimize the investment portfolio according to the fund size and performance.And about the fund management company factors,this paper suggest that the fund management company who has been found recently and the scale is small should improve the rules and regulations as soon as possible.Finally,this paper also offers some recommendation on how to answer the market condition factors:the institutional investors should strengthen their ability to interpret the policy,and grasp the policy influence to the market trend accurately.