基于后悔厌恶心理因素的投资者行为分析  

An Analysis of Investor's Behavior Based on Regret Aversion

作　　者：胡增永[1] 李新路[2] 周明[3] 

机构地区：[1]山东大学,济南250010 [2]山东经济学院,济南250014 [3]新疆财经学院金融系,乌鲁木齐830012

出　　处：《新疆财经》2006年第3期47-50,共4页Finance & Economics of Xinjiang

摘　　要：基于后悔厌恶的心理因素,投资者会表现出持亏卖盈的行为偏好。本文利用中国个体投资者交易账户的交易数据对中国股票市场个体投资者“处置效应”进行了实证分析,并考察了中国股票市场是否存在“十二月效应”对“处置效应”的影响。本文研究表明,中国个体投资者存在显著的“处置效应”,并在十二月份存在“反处置效应”现象。Based on the psychological factor of regret aversion, the investors in China＇ s stock market will demonstrate a preference of holding losers and selling winners. The study analyzed empirically investors＇ disposition effect using the trading data of China＇ s individual investors, and researched if the December effect affected disposition effect. The study reached the conclusion that the individual investors in China stock market demonstrate remarkable disposition effect, and behave reverse- disposition effect in December.

关 键 词：后悔厌恶 投资者行为 处置效应 

分 类 号：F832.48[经济管理—金融学]