中国投资者的股票出售行为画像——处置效应研究新进展  

Portraits of Investors’Selling Behavior in China’s Stock Market:Advances in Disposition Effect

作　　者：陆蓉[1] 李金龙[1] 陈实 Lu Rong;Li Jinlong;Chen Shi(School of Finance,Shanghai University of Finance and Economics)

机构地区：[1]上海财经大学金融学院

出　　处：《管理世界》2022年第3期59-75,共17页Journal of Management World

基　　金：国家自然科学基金“危机冲击下的民营企业韧性度量与提升路径:基于温州的调查研究”(72173081);“交易传染与非理性价格形成:基于投资者画像的精准识别”(71773072);“中国资本市场行为特征对因子定价模型的影响及其监管研究”(72073088);“信息型市场操纵经济后果及其监管研究”(71773073)的资助。

摘　　要：股票投资能否获利,除了与买入行为有关,更与出售行为有关。以往研究揭示,投资者的出售行为系统偏离理性预期,并不依据未来收益,而是依据过去盈亏做决策。投资者倾向于“售盈”而“持亏”,被称为处置效应。本文利用2011~2017年中国股票市场投资者的大样本账户数据,对投资者的出售行为进行画像。首先,发现了处置效应的存在性,个人投资者90%的情况下持股时间不超过20个交易日,持股时间越短,处置效应越明显。其次,发现了处置效应具有不对称的形状,即投资者对“售盈”和“持亏”的敏感度不同,并与美国市场表现不同。为了剖析中国投资者独特的处置效应形状的成因,根据处置效应的原理将出售行为特征划分为两个部分:(1)“扳本”效应,在持股收益由负变正时投资者出售倾向跃升,即处置效应在参考点处陡增。这部分原因约占总体处置效应的13%,且对处置效应的贡献度随持股时间的增加而减小。(2)盈亏敏感性差异,卖出决策对盈利的敏感性大于对亏损的敏感性,处置效应呈现不对称V形,出售对盈利的敏感度是亏损的6.03倍。上述成因在理性程度不同的个人投资者、公募基金样本的对比分析中得到验证。本文的结果有助于理解A股的价格形成机制,对投资者能否以及如何才能实现收益有启发。Whether stock investment can profit is more related to selling behavior than buying behavior.Extant studies have revealed that investors’selling behavior can systematically deviates from what traditional rational-agent-based theory predicts,in which the investors’decisions are made not based on stocks’future earnings,but on past gains and losses.Investors are prone to disposition effect,characterized by investors being more likely to sell winners than losers.This paper utilizes large-sample investors’stock trading records in Shanghai stock market between year 2011 and 2017 to systematically study individual investors’selling behavior in China and reveal some stylized facts.First,we verify the existence of disposition effect and in about 90%cases the holding periods are less than 20 trading days for individual investors.The shorter the holding period,the stronger the disposition effect.Second,we find unique shape of disposition effect for Chinese individual investors,i.e.asymmetric V-shape.They have different sensitivity to gains and losses,which is different from the US market.We propose that disposition effect comes from two sources:(1)the"break-even"preference,which means investors’selling propensity jumps the moment they recover losses,that is,the disposition effect increases sharply at the reference point.The break-even preference accounts for 13%of disposition effect and decreases with time.And(2)the difference between sensibility to gains and losses.Selling behavior is more sensitive to gains and thus the V-shape is asymmetric.Chinese individual investors’sensibility to gains is 6.03 times larger than that to losses.The above analysis is verified among individual investor subsamples with different rationality and active mutual funds.This paper contributes to the understanding of the price formation mechanism of A-shares and has implications for investors to make a profit.

关 键 词：投资者行为 股票出售 处置效应 V形 扳本 

分 类 号：F832.51[经济管理—金融学]