中国个人投资者处置效应研究——一个非理性信念的视角  

A Study of Disposition Effect among China’s Individual Investors:the Perspective of Irrational Beliefs

作　　者：武佳薇 汪昌云[2] 陈紫琳 Jie Michael Guo WU Jiawei;WANG Changyun;CHEN Zilin;Jie Michael Guo(Futures and Derivatives Research Department,China Institute of Finance and Capital Markets;China Financial Policy Research Center,Renmin University of China;Macro Research and Asset Management Department,China Southern Asset Management Co.Ltd.;Durham University Business School)

机构地区：[1]中证金融研究院期货与衍生品研究部,北京100033 [2]中国人民大学中国财政金融政策研究中心,北京100872 [3]南方基金管理股份有限公司宏观研究与资产配置部,广东深圳518017 [4]杜伦大学商学院,英国杜伦

出　　处：《金融研究》2020年第2期147-166,共20页Journal of Financial Research

基　　金：国家自然科学基金项目“信念、投资者卖出行为与处置效应”(71874194)资助。

摘　　要：处置效应是指投资者过早卖出盈利股票而长期持有亏损股票的现象。大量文献表明金融市场投资者存在显著的处置效应,但其产生的原因和机理存在争议。本文在前景理论框架下,构建了包含投资者非理性预期的离散时间投资组合决策模型,发现处置效应随投资者情绪升高而减弱。本文使用我国某券商2007—2009年近177万个人投资者股票账户的交易数据进行了实证分析,得到与理论模型预测的一致结果,即投资者情绪与投资者处置效应之间呈现显著的负相关关系。而且,受情绪影响,投资者处置效应在估值难度较大的股票中更弱。本文结论对理解投资者处置效应、优化投资者卖出决策和加强资本市场基础制度建设具有一定理论和实践意义。The disposition effect refers to a robust trading phenomenon in which both individual and institutional investors are more likely to sell an asset when it is at a gain than when it is at a loss.The disposition effect is common in the stock market,the futures market,the real estate market,and other financial markets.However,as widespread as the disposition effect is,the literature has not reached consensus on its mechanism.We extend the literature by showing the significant impact of investor sentiment on the disposition effect both theoretically and empirically.The theory of investor preference and the theory of rational belief are the two main explanations for the disposition effect.Kahneman and Tversky’s(1979)prospect theory attributes the disposition effect to the features of investors’preferences,as described by the S-shaped value function.Investors are more risk averse when facing profits and more risk seeking when facing a loss.Therefore,investors prefer to sell profitable stocks to realize gains and hold loss stocks to wait for recovery.One basic assumption of present prospect theory models and relevant modified models is that investors’expectations regarding the probability of stock price change are equal to the real probability(Barberis and Huang,2008;Barberis and Xiong,2009).As this assumption fails to describe the fact that investors usually have irrational expectations,the present prospect theory model does not include the documented impact of investor sentiment on trading behavior and asset pricing(Antoniou et al.,2013;Da et al.,2015).To fill this gap,we introduce investor sentiment into the prospect theory model and study the potential impact of investor sentiment on the disposition effect.Irrational investors usually fail to properly estimate the price expectation of a risky financial asset(normally a stock).Therefore,we describe investor sentiment by using investor expectation bias on the probability of stock price change for different cases(Barberis et al.,1998)and modify the prospect theor

关 键 词：处置效应 投资者情绪 非理性预期 

分 类 号：F832.51[经济管理—金融学]