퇴직연금펀드 개인투자자의 디스포지션 효과 (disposition effect) 실증분석

초록

[Purpose]This study aims to explore efficient retirement pension asset management strategies by empirically analyzing the presence of the disposition effect, a common behavioral bias among investors, among domestic retirement pension fund subscribers. [Methodology]The research uses transaction data from approximately 174,000 subscribers of Defined Contribution (DC) and Individual Retirement Pension (IRP) plans from 2016 to 2022. The Cox proportional hazards model is employed to empirically analyze the selling decision patterns of these investors. [Findings]The findings reveal that, unlike the general disposition effect observed in the domestic stock market, pension fund subscribers tend to hold assets when gains are realized and sell when losses occur. The study concludes that selling decisions are more influenced by the holding period return than by the actual profit or loss of the fund. [Implications]The selling patterns of pension fund subscribers differ from those of general investors, showing a propensity to endure potential losses while aiming to maximize long－term returns. This study provides key insights for pension asset and return management through its empirical analysis based on real transaction data.

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