理性程度与投资行为基于机构和个人基金投资者行为差异研究

        Rationality and Investors＇ Behavior--Based on the Behavior of Institutional and Individual Fund Investors
    基金：本文是国家自然科学基金“基于投资者非理性的财富掠夺及其监管研究”（71272009）;国家自然科学基金“有限理性对金融监管的影响研究”（71073100）;国家自然科学基金“资本市场错误定价对实体经济的影响及其监管研究”（71273164）的研究成果.左大勇感谢上海财经大学研究生科研创新项目（CXJJ--2011-407）的资助.感谢2013中国金融国际年会点评人的宝贵意见,当然文责自负.
    摘要：理性程度不同的投资者，其投资行为很可能不同。在市场中，机构和个人投资者代表了不同的理性程度，两类投资者的行为差异可能是导致很多金融市场研究结论不一致的原因。由于用基金市场研究投资者行为具有天然优势，本文对开放式基金机构和个人投资者的行为进行了对比研究，发现个人投资者往往只看中历史业绩，不能分辨风险，个人对基金当期业绩存在“赎回异象”，选择的基金不能取得超额收益；而机构投资者看重基金剔除风险因素的超额收益。另外，本文还发现了个人投资者的非理性会被基金管理者所了解和利用的证据，理性人采取的一些营销策略（如大比例分红）吸引的是个人投资者的资金，而这些策略对于机构投资者无效。本文为市场异象和投资者行为的研究提供了新的视角，为一些有争议的研究结果提供了统一的解释，对于市场的监管和投资者保护也有指导意义。
    Investors of different levels of rationality are likely to have different investment behaviors. Institutional and individual investors are two groups representing distinct levels of rationality. The difference in the behavior of the two types of investors is probably the cause of inconsistent conclusions of many financial market studies. Given the advantage of mutual funds market in differentiating investors, this paper investigates the behavioral difference of the two groups of investors in open-ended funds. We find that individual investors value historical performance without being able to identify risk. ＂Redemption Puzzle＂ only exists in individual investors. Individual investors cannot obtain abnormal returns while institutional investors always make the right choice by valuing abnormal returns. In addition, we find the evidence that the irrationality of individual investors is manipulated by fund managers. Marketing strategies （e. g. high dividend payout） attract individuals＇ rather than institutional investors＇ cash flow. This paper offers a new perspective studying market puzzle and investor behavior, provides a consist explanation for controversial topics and has special reference to market supervision and investors protections.
    关 键 词：个人投资者 机构投资者 理性程度 基金投资行为
    Individual Investor, Institutional Investor, Rationality, Mutual Fund, Investment Behavior
    分 类 号：F832.5
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