处置效应还是过度反应?——来自中国A股投资者参考点依赖与股票收益的证据  

Disposition Effect or Overreaction?——Evidence from Chinese A-share Investors'Reference-Dependent Preferences and Stock Returns

作　　者：肖欣荣[1] 周晏伊 XIAO Xin-rong;ZHOU Yan-yi

机构地区：[1]对外经济贸易大学中国金融学院,北京100029

出　　处：《现代金融研究》2024年第10期70-80,共11页Journal of modern finance

基　　金：对外经济贸易大学中央高校基本科研业务费专项资金(19YB14)的资助。

摘　　要：本文基于A股市场股票数据,研究了投资者参考点依赖和股票收益的关系。研究结果表明:以短期历史价格为参考点时,未实现资本利得(投资者浮盈浮亏)与收益正相关,而以长期历史价格为参考点时,未实现资本利得与收益负相关,且分别可由处置效应和过度反应解释;未实现资本利得对过去收益正交后,与未来收益的正向关系更强;基于专业投资者持股数据构建的未实现资本利得与收益的正向关系更强;本文的发现不能被V型出售概率所解释。本研究为A股市场政策制定和参考点依赖的投资者决策提供了参考依据。The paper investigates the relation between investors'reference-dependent preferences and stock returns based on the stock data of Chinese A-share market.The empirical results reveal that,capital gains overhang(unrealized capital gain or loss)is positively related to stock returns when short-term historical prices are used as the reference points,while it is negatively related to stock returns when long-term historical prices are used as the reference points,and can be explained by disposition effect or overreaction,respectively.There is a stronger positive relation between orthogonalized capital gains overhang and stock returns.Capital gains overhang constructed based on the holding data of professional investors has a stronger positive relation with stock returns.These findings cannot be explained by the V-shaped selling propensity.The results of the article provide implications for policy makers and investors with reference-dependent preferences in Chinese A-share market.

关 键 词：参考点依赖 未实现资本利得 处置效应 过度反应 短期反转效应 

分 类 号：F832.51[经济管理—金融学]