投资者的非理性行为偏差与止损策略——处置效应、参考价格角度的实证研究  

Investors' behavioural biases and stop-loss strategy: Empirical study based on disposition effect and reference point

作　　者：池丽旭[1] 庄新田[2] 

机构地区：[1]沈阳农业大学经济管理学院,沈阳110866 [2]东北大学工商管理学院,沈阳110004

出　　处：《管理科学学报》2011年第10期54-66,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70871022);中央高校基本科研业务费专项资金资助项目(N090606002)

摘　　要：应用前景理论思想,以中国证券市场中存在的处置效应为切入点,系统分析了投资者的行为偏差和风险偏好特征,并且进一步确定了决策者投资过程中的参考价格水平.实证结果表明1,)宏观面因素直接影响投资者对风险的态度.股权分置改革前,投资者的非理性较强,表现出长期持有损失股票,而过早地卖出盈利股票的处置效应特征;股权分置改革后,投资者更愿意长期持有盈利的股票,对收益表现出一定的风险喜好.另外,投资者表现出的私房钱效应削弱了处置效应的强度.2)投资者除了将动态购买成本作为参考价格,其情绪还会受到股票历史最高价格的影响.3)最后,针对投资者的认知与行为偏差,验证了止损策略的收益优于买入后持有的策略.This paper focuses on the investors＇ behavioural biases and their preference property in the Chinese stock market,and further confirms the reference price for investors.The results show that macroeconomic factors affect investors＇ preferences.Before the split-share structure reform,investors preferred to ride losers too long,and sell winners too early.However,after the reform,investors tend to hold the gains.On the other side,house money effect weakens the disposition effect.This study also finds that the investors consider both dynamic costs and highest stock price as their reference point.While considering individual＇s behavioural biases,the stop-loss strategy,which helps the investors earn more money,is more predominant than the holding strategy.

关 键 词：前景理论 投资者行为 处置效应 参考价格 

分 类 号：F830.91[经济管理—金融学]