信用交易会放大个人投资者的卖出行为偏差吗  

Does Margin Trading Impact the Selling Behavior of Retail Investors?Evidence from Account-Level Data

作　　者：胡聪慧 亓婧宇 徐鑫 HU Conghui;QI Jingyu;XU Xin(Beijing Normal University,100875;Guangdong University of Finance and Economics,510320)

机构地区：[1]北京师范大学经济与工商管理学院,100875 [2]广东财经大学金融学院,510320

出　　处：《财贸经济》2024年第3期93-109,共17页Finance & Trade Economics

基　　金：国家自然科学基金项目“个人投资者杠杆交易动机与行为后果研究”(71972037);国家自然科学基金项目“智能投顾的价值创造机理研究”(72372011);中央高校基本科研业务费专项资金(1233200014)。

摘　　要：信用交易缓解了投资者的资金约束,但提高了交易的复杂性和不确定性,有可能加剧投资者的行为偏差。本文利用某全国性券商2011—2015年个人投资者的脱敏账户交易数据,研究信用交易对投资者卖出行为的影响。研究发现,引入信用交易不仅降低了投资者亏损时的卖出倾向,而且更大幅度地降低了盈利时的卖出倾向,进而导致以“盈亏时卖出倾向之差”度量的处置效应降低。进一步地,本文对盈利和亏损状态下的影响机制进行了检验,发现盈利时受赌资效应和过度自信的影响,亏损时受损失厌恶和后悔厌恶的影响,信用交易者的卖出倾向都会更大幅度地降低。本文的研究表明,信用交易会放大投资者卖出时的行为偏差,而且在盈利和亏损情形下具有不同的影响机制,这对深入理解处置效应、有针对性地开展投资者教育具有重要参考价值。Previous studies show that margin trading enhances the price discovery efficiency,imposes constraints on corporate behaviors,but amplifies illiquidity risks during market downturns,leading to risk contagion and diffusion.However,few have explored the behaviors of margin traders.Specifically,while margin trading alleviates investors’capital constraints,it increases the complexity and uncertainty of trading,potentially exacerbating behavioral biases and harming investors’welfare.This paper focuses on the behavioral biases in the selling process of investors,examining the impact of margin trading on the welfare of retail investors.Using account-level transaction data from a national brokerage firm from 2011 to 2015,this study investigates the effects of margin trading on retail investors’selling behaviors.The findings indicate that the introduction of margin trading not only reduces the investors’tendency to sell at a loss but also significantly decreases their inclination to sell when making profits.Furthermore,this study examines the mechanisms underpinning the effects in profitable and loss situations.The results show that in profitable situations,margin traders,due to the house money effect and overconfidence,have less concerns about the disappearance of profits,and thus less willing to sell profitable stocks.In loss situations,margin trading strengthens investors’loss aversion and regret aversion,reducing their willingness to sell losing stocks.Overall,this research indicates that margin trading magnifies behavioral biases in investors’selling decisions,with distinct mechanisms in profitable and loss scenarios.This paper contributes to existing literature in two aspects.First,it analyzes the impact of the introduction of margin trading on investors’selling decisions from the perspective of increased trading complexity and uncertainty.The study not only reveals the influence of trading environments on investors’behavioral biases but also deepens the understanding of the mechanisms behind the disp

关 键 词：信用交易 处置效应 赌资效应 过度自信 损失厌恶 

分 类 号：F832[经济管理—金融学]