什么影响着投资者选择卖出或继续持有?  

What affects investors' selling and holding?

作　　者：何基报[1] 鲁直[2] 

机构地区：[1]深圳证券交易所综合研究所,深圳518028 [2]复旦大学管理学院,上海200433

出　　处：《管理科学学报》2006年第6期53-63,共11页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70103004)

摘　　要：利用某一营业部近万个账户3年的交易数据,对哪些因素影响以及如何影响投资者卖出与持有选择进行研究,结果表明:(1)投资者所处的亏损或盈利状态对选择卖出或持有具有重要影响.在剔除盈亏状态与其他因素交互作用所产生的影响后,中等亏损程度的小投资者具有较强的处置效应,而大中型投资者的严重亏损将增加其卖出倾向;(2)近期个股价格的变化、历史波动,大盘历史走势与波动均对卖出与持有决策有不同程度影响.首次研究了个股历史换手率变化、重大政策和事件、市场普涨和普跌等对投资者的影响,研究发现,这些因素对大投资者和小投资者的影响方式和方向不相同.This paper studies what affects Chinese investors＇ selecting between selling and holding decisions by using three years＇ trading data from a large broker. The results show that whether investors are profiting or losing influences their inclination to sell or hold significantly. Excluding the interaction between the capital loss dummy and other variables, investors with relatively less capital and losing within medium-range are reluctant to realize losses. While those with more capital and losing heavily would tend to sell out. Stocks＇ re.cent price and volatility, market＇ s historical change and volatility do affect investors＇ deciding of selling or holding. Compared to the findings of Grinblatt and Keloharju （2001）, this research studies the influences of stock＇ s historical change of trading volume, important policies and events, the vo factors have different impacts on investor＇s latility of market on investors for the first time. Findings show that these trading decision for investors with varying capital.

关 键 词：卖出倾向 正市场调整收益 负换手率 惯性交易 行为金融 

分 类 号：F830[经济管理—金融学]