프로스펙트 이론의 손실회피현상이 펀드성과에 미치는 영향에 관한 실증적 연구

This research investigated institutional investors' investment behavior, focusing on the disposition effect which is based on the prospect theory's asymmetric value function. Empirical studies show most investors have a significant preference for realizing winners than losers, and the preference, disposition effect has been widely studied and documented among the individual investors' group. However, the disposition effect, a form of irrational trading, has been ignored among the institutional group. Perhaps the reason is that institutional investors are viewed as professionals and they are above behavioral bias. This research investigated whether or not such an asymmetric investor behavior also exists in the funds which are managed by asset management companies. By using a unique database from 2004 to 2007 which is obtained by the biggest fund administrator in Korean fund industry, we try to find strong evidence of the disposition and fund performance. This research also investigated the disposition effect bias has impact on investment performance, if the bias exists. Several interesting results are found. First, disposition effect generally existed among most of funds like those from previous studies in a professional group. Second, this research find that there is a negative relationship(-0.093% annually) between disposition effect and investment performance, in regard to the disposition effect to fund performance in the cross section,On top of that, core findings may make a contribution to the literature that tries to examine a new investment technique and those who try to select a variety of stock investment funds. This factor cannot be simply eliminated by devising fund structures or contracting mechanisms. Those who are involved in fund industry need to understand the nature of this behavior factor and realize the potential performance.