中国投资者是否倾向于投资本省股票的研究.docVIP

PAGE PAGE 1 题目：中国投资者是否倾向于投资本省股票的研究 北京大学光华管理学院 朱蓉 中文摘要 经典的资产定价理论告诉我们，投资者应该持有最优投资组合，有效的分散风险。可是国外的实证结果表明，无论是在国际范围内还是国内范围，投资者倾向于投资离开自己近的股票，而不持有最优投资组合，这种倾向叫做“home bias”。 本文在国外研究的基础上，用中国基金的季度投资组合的资料，研究了中国的基金投资者是否倾向于投资本省的股票，得到的结果是有这样的倾向。另外，本文还对不同的类型的基金的投资本省股票的倾向进行了研究，得到开放式基金比封闭式基金更有投资于本省股票的倾向，注册地和办公地为上海市的基金更具有投资于本省股票的倾向。最后，本文把“省”的概念放宽到地区，经过强健性检验，得到仍然有这样的倾向。 【关键词】 home bias 基金 行为金融 本省股票 地域 Abstract Classical theories of asset pricing tell us to hold optimal portfolios and hedge risks optimally. Nevertheless , empirical studies find investors are much more like to hold stocks of the companies which are located close to them geographically. This phenomenon is called “ home bias” which has long been noted by researches. This paper uses data of the quarterly portfolios of Chinese funds to study whether these funds tend to invest excessively in the stocks of companies which are located in the same province with them. The answer is “yes”. In addition, different kinds of funds exhibit different levels of bias, e.g. open-end funds show relatively larger bias than closed-end fund and funds in Shanghai show larger bias than those in other places. At last , the result of the existing of the home bias is robust to employing ‘region’ as another metric. Keywords: Home bias Fund Geographical Same province Behavioral finance TOC \o 1-3 \h \z \u HYPERLINK \l _Toc104907836 第一章．引言 PAGEREF _Toc104907836 \h 5 HYPERLINK \l _Toc104907837 第二章. 经典投资组合理论和home bias的情况的介绍 PAGEREF _Toc104907837 \h 6 HYPERLINK \l _Toc104907838 第三章．文献回顾 PAGEREF _Toc104907838 \h 7 HYPERLINK \l _Toc104907839 第四章．实证研究 PAGEREF _Toc104907839 \h 10 HYPERLINK \l _Toc104907840 第一节 数据来源和方法说明 PAGEREF _Toc104907840 \h 10 HYPERLINK \l _Toc104907841 第二节 实证结果 PAGEREF _Toc104907841 \h 13 HYPERLINK \l _Toc104907842 一． 基金整体的home bias情况 PAGEREF _Toc104907842 \h 13 HYPERLINK \l _Toc104907843 二． home bias 随基金的