张亚涛,刘以琏

• 1:南开大学金融学院

摘要(Abstract)：

本文首次探究了"锚定效应"在投资者基金选择过程中发挥的作用,并从市场环境和投资者有限理性的角度出发对"锚定效应"的成因进行了探究。首先,本文发现我国开放式基金投资者存在"锚定效应",且"锚定效应"导致了基金市场上赎回异象的产生。其次,本文发现较低的投资者关注度、较高的不确定性、较高的信息复杂度和较低的决策成本都会加剧投资者的锚定效应。最后,本文发现与存在"锚定效应"个人投资者不同,机构投资者相对理性,不存在锚定效应。经稳健性检验,上述结果依然成立。据此,本文建议相关部门秉持分类治理的思路,加强投资者教育、简化投资程序、完善基金的费率设置、建立合理的分红制度、改善基金市场环境和提高基金信息披露质量,以降低投资者的"锚定效应"。

关键词(KeyWords)： “锚定效应”;赎回异象;有限理性

Abstract:

Keywords:

基金项目(Foundation):

作者(Author): 张亚涛,刘以琏

DOI: 10.16513/j.cnki.cje.20210628.001

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• (1)感谢匿名审稿人的宝贵意见,建议我们对机构投资者购买的份额(institutional shares)和个人投资者购买份额(retail shares)分别分析。文责自负。
• (2)为排除内生性,本文将锚定比率分别与CAPM alpha、FF3 alpha和FF5 alpha的滞后一期进行回归,取回归残差作为锚定比率的代理变量,结果依然稳健,结果留存备索。
• (3)数据源自http://index.baidu.com网站。
• (4)此处Hausman检验结果显示应用固定效应模型,限于篇幅未报告详细结果,留存备索。
• (5)受篇幅所限,稳健性检验结果未列出,读者如有需要,可向作者索取。