基于前景理论的处置效应的存在性及特征  

Existence and Characteristics of the Disposition Effect based on Prospect Theory

作　　者：吴晓霖[1] 蒋祥林[2] 姚舜[2] 

机构地区：[1]上海理工大学管理学院,上海200093 [2]复旦大学经济学院,上海200433

出　　处：《系统管理学报》2014年第6期768-777,共10页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(71173044);上海市2012年浦江人才项目(12PJC078)

摘　　要：采用前景理论对处置效应的存在性和特征进行了解释。设定前景理论效用函数为分段常绝对风险厌恶(CARA)效用函数,在此基础上,构建的投资决策模型可以较好地解释处置效应。对模型的模拟分析表明:股票的超额收益率越高和波动率越高,处置效应越显著;投资者的交易频率越高,处置效应越不显著。This paper is concerned with the existence and characteristics of the disposition effect for investors using prospect theory and shows that the piecewise CARA utility function can predict the disposition effect. Simulation results show that, for stocks with higher expected return and volatility, there exists a prominent disposition effect and, for the investors trading stocks more frequently, the disposition effect in their behavior is less significant.

关 键 词：前景理论 处置效应及特征 分段CARA效用函数 

分 类 号：F830.91[经济管理—金融学]