贪婪与恐惧——对上海股市投资者处置效应的实证研究  

Greed and Fear—An Empirical Study on Investors’ Disposition Effect on the Shanghai Stock Exchange

作　　者：施歌 司徒大年 

机构地区：[1]格瑞森林学院,美国马里兰州 [2]上海证券交易所产品创新中心,上海

出　　处：《金融》2019年第3期142-148,共7页Finance

摘　　要：本文利用2016~2017年间上海股市5000余万个活跃账户的交易数据,对投资者的处置效应进行了实证分析,并考察了不同类别投资者和不同市场表现对处置效应的影响。我们的研究发现,上海股市的投资者整体上存在处置效应行为,分组分析显示,中小散户投资者存在显著的处置效应,但大户和机构投资者并不存在处置效应,在个人投资者中,女性投资者的处置效应程度要高于男性投资者,并且个人投资者的处置效应随年龄的增长而愈加显著。此外,处置效应程度在市场环境变好的情况下会下降,而在市场环境变坏的情况下会上升。这些研究结果有助于进一步分析股票市场中投资者的认知偏差和市场的无效率现象。Using the transaction data of more than 50 million active investors on the Shanghai Stock Market during 2016 to 2017,we find that the“disposition effect”,investors’reluctance to crystallize losses and relative eagerness to realize gains,is pervasive in aggregate.Further results by investor type indicate small individual investors are reluctant to realize losses,while larger individual investors and institutional investors are not.Our novel findings include that(a)although male investors realize gains at a faster rate than female investors,they exhibit a lower preference for realizing gains rather than losses,(b)the disposition effect of individual investors becomes more prominent as the age grows,(c)there is evidence that the propensity of disposition effect declines following strong market performance.

关 键 词：前景理论 投资者行为 处置效应 市场表现 

分 类 号：F2[经济管理—国民经济]