投资者特征与处置效应--来自中国A股融资交易的证据

利用个体融资交易者的账户信息和交易信息,本文对中国股票市场融资交易者的处置效应和不同投资者特征下投资者处置效应之间的差异进行了实证分析。结果表明：除了频繁交易和经常扎平交易的投资者之外,所有从事融资交易的投资者都表现出明显的处置效应,尽管其处置效应程度低于非融资交易者的处置效应程度;女性投资者表现出相对较高程度的处置效应,源于其具有较强的盈利确定心理;缺少经验的投资者表现出相对较高程度的处置效应,源于其具有较强的盈利确定心理和损失厌恶心理;不频繁交易的投资者和不经常扎平交易的投资者也表现出相对较高程度的处置效应,源于其具有较强的损失厌恶心理;投资者的年龄和所在城市的发达程度对其处置效应程度没有显著影响。     

中国股市中个体投资者处置效应的实证研究

本文基于行为金融理论,通过来源于南京某一证券营业部的个体投资者的交易数据来研究中国证券市场中个体投资者的处置效应。文章首先将1997年1月1日至2004年12月1日的中国股市划分为牛市和熊市。分别研究牛市和熊市中投资者是否存在处置效应。结果发现在牛市中个体投资者表现出了更强的处置效应,但是在熊市中个体投资者却表现出了反处置效应,即投资者卖出亏损的股票而持有盈利的股票。此外投资者的个体信息会对投资者的行为产生影响。     

基于EGARCH模型的中国股市投资者损失厌恶偏好特征的经验检验

行为金融理论对传统主流金融理论中投资者完全理性与厌恶风险假设提出了挑战,认为投资者是相对理性,并且是损失厌恶的.由于从处置效应角度检验中国股票市场投资者是否具有损失厌恶偏好特征具有数据收集的困难,且投资者在牛熊市状态下风险偏好也存在差异,故本文选用EGARCH模型,研究牛熊市中国股票市场对于好消息和坏消息的不对称反应,从更宏观层面检验中国股票市场投资者的损失厌恶偏好特征.     

信任、外部冲击与投资者保护效应的非对称性:中国的经验证据

本文关注了投资者保护效应在正常市场条件下和危机当中表现出来的非对称性特征,从信任的视角出发,基于投资者的决策模式,把投资者保护水平的相对稳定和投资者对于保护水平反应的变动性纳入一个统一的分析框架,更好地解释了投资者保护效应非对称性产生的原因,丰富了对于投资者保护重要性以及投资者保护如何发挥作用的机制的认识.在理论分析的基础上,本文检验了次贷危机前后,中国股票市场在公司层面上的投资者保护质量对于股票累积收益率影响的差异,发现投资者保护效应在危机前后存在非对称性,不同的治理变量在保护效应的非对称性上也存在差异,这也暗示了上市公司改进投资者保护水平和提升投资者对于我国股票市场信任和信心的方向.     

我国股票市场中“羊群效应”行为分析

当人们对没有足够的自我选择能力并且受到多数人影响时,人们就会跟随大众的思想或者行为,这样就产生了羊群效应。在股票市场上,人们的羊群效应更为明显与严重。本文分析了股票市场中羊群效应产生的客观原因和内在原因,并结合中国的实际情况从个人投资者和机构投资者的角度分析了中国的股票市场和证券市场中羊群效应存在的原因。最后,本文根据中国的股票市场中羊群效应产生的实际原因给出了针对我国股票市场中羊群效应的相关建议和意见。     

投资者行为风险教育研究

本文将股票市场的交易者分为上市公司股东、机构投资者和个人投资者,分别探讨了不同交易者的交易驱动因素和交易特征,从监管层和投资者角度,对投资者交易行为进行引导的方式和对投资者进行风险教育的内容进行了研究,并提出从设立平准基金、规范机构投资者投资理念、引导投资者关注流动性等方面完善市场。     

投资者行为与风险教育研究

本文将股票市场的交易者分为上市公司股东、机构投资者和个人投资者．且分别探讨了不同交易者的交易驱动因素和交易特征,并从监管层和投资者角度,对投资者交易行为的引导方式和对其风险教育的内容进行了研究．提出了从设立平准基金、规范机构投资者投资理念、引导投资者关注流动性等方面完善市场。     

中国股票市场"下行Beta之谜"——基于信息质量与投资者风险偏好的解释

将股票市场信息拆分为与基本面相关的"价值信息"和与基本面无关的"噪声信息",进而检验信息质量对下行Beta的影响,并考察投资者风险偏好类型的作用.结论表明:价值信息影响下行Beta,也同时决定着个股预期收益率,而噪声信息则仅仅对下行Beta存在冲击,却与个股收益率无关,正是风险与收益存在差异化的信息冲击机制,导致了下行Beta负定价效应的出现与下行Beta之谜的产生.这一过程中,投资者风险偏好特征调节了信息质量对下行Beta之谜的影响,并具体表现为"信号过滤"(风险厌恶)与"信号放大"(风险偏好)效应.     

中国股市机构投资者多账户交易行为研究

多账户交易行为是中国机构投资者的典型特征,是中国股票市场的特有现象。限于交易数据的可获得性,相关研究较少。本文提出了一种从交易数据中将机构投资者的交易记录分离出来的方法。据此,本文分析了机构投资者证券账户与资金账户的对应关系,证实了多账户交易行为的存在,发现采用多账户交易的机构投资者具有集中投资、日内多次交易、利用不同证券账户进行建仓、对敲、拉升股价、出货等基本特征。根据实证研究的结果并结合实例,本文揭示了机构投资者多账户交易的动机是隐蔽交易、拉升股价和申购新股。     

中国股票市场对政策信息的不平衡性反应研究

本文将影响股票市场的政策信息区分为"好消息"和"坏消息"。通过 EGARCH 模型研究中国股票市场对"好消息"与"坏消息"的不平衡性反应,指出"好消息"对我国股票市场的影响大于"坏消息"的影响,这与国外股票市场的情况正好相反。根据这一结果本文创建了"信息效应曲线",具体分析我国股票市场对"好消息"与"坏消息"的不平衡性反应的特征,提出现有交易机制下的股价波动模式。     

The Disposition Effect and Individual Investor Decisions: The Roles of Regret and Counterfactual Alternatives

Recent studies have documented a strong tendency for individual investors to delay realizing capital losses, while realizing gains prematurely (Odean [1996], Shefrin and Statman [1985], Weber and Camerer [1996]). This tendency has been termed the "disposition effect." The disposition effect is inconsistent with normative approaches to stock sales, such as those based on tax losses (see, for example, Constantinides [1983]). We surveyed individual investors, and found that more respondents reported regret about holding on to a losing stock too long than about selling a winning stock too soon. This finding suggests that individual investors are consistently engaging in behavior that they have been warned can cost them money and that they regret later. Two additional experiments confirm the disposition effect and the role of regret, and offer evidence about the role of an agent (broker) in the assignment of blame and regret. We show that investor satisfaction and regret are not simply functions of outcome, but are influenced by counterfactual alternatives and the type of action taken (holding versus selling). We suggest that the disposition effect may be highly related to reduction of anticipated regret.     

Market states and disposition effect: evidence from Taiwan mutual fund investors

We study the disposition effect across market states in the context of mutual fund investors in Taiwan. Using mutual fund data at the fund and individual levels during July 2001 to October 2008, we find that the disposition effect varies across market states. Our results suggest that investors redeem their mutual fund units more under a bear market than a bull market when they have extreme capital losses. When investors have moderate capital gains, they are less active in redeeming their mutual fund units under a bull market relative to a bear market. Under a neutral market, investors actively redeem mutual fund units in both winner and loser mutual funds except when they have extreme capital losses. Thus, disposition effect is not uniform; it varies by market condition. In addition, the disposition effect phenomenon also exists for Taiwan mutual fund investors as well. Our findings are robust to aggregate and individual investor levels.     

个人投资者交易行为研究——来自台湾股市的证据

本文基于台湾股市数据,主要研究个人投资者的交易行为。参照Kaniel et al.(2008)构建了个人投资者交易不平衡性指标─净交易,以反映投资者股票交易的强度。采用这种交易不平衡性指标来构建投资组合研究个人投资者的交易行为。首先研究个人投资者交易和股票的收益之间的动态关系从而分析投资者的交易策略,然后研究个人投资者净交易的收益预测能力从而分析个人投资者交易的信息含量。本文研究发现:台湾股票市场的个人投资者采用负反馈的交易策略,并且个人投资者在交易中表现出很强的处置效应;个人投资者在交易中的信息含量不足;个人投资者交易中的盈利主要来自两个方面:过度反应和价格冲击。文章最后给出政策建议。     

Holding on to the Losers: Finnish Evidence

Recent literature reports evidence on investor behavior that is inconsistent with traditional finance theory. One currently being debated is behavioral irrationality, the tendency of investors to hold losing investments too long and sell winning investments too soon, a phenomenon known as the disposition effect. We analyze the trading records of all individual investors in the Finnish stock market and document that capital losses reduce the selling propensity of investors. There is, however, no opposite effect identifiable with respect to capital gains. We also find, somewhat surprisingly, that both positive and negative historical returns significantly reinforce the negative association between the selling propensity of investors and capital losses. While these findings offer no direct support for the disposition effect, they do suggest that investors are loss averse.     

Irrational Mutual Fund Managers: Explaining Differences in Their Behavior

Documenting the disposition effect for a large sample of mutual fund managers in the United States, we find that stock-level characteristics explain the cross-sectional variation of the effect. The disposition effect, which is the tendency to sell winner stocks too early and hold on to loser stocks for too long, is more pronounced for fund managers who invest in stocks that are more difficult to value. Using different measures of stock and market uncertainty, we show that mutual fund managers display a stronger disposition-driven behavior when stocks are more difficult to value. We also find that the level of the disposition effect is monotonically increasing with the level of systematic risk (i.e., beta). In addition, we document that the trading behavior of mutual fund managers is partly driven by attention-grabbing stocks (dividend-paying stocks). Overall, our results suggest that stock-level uncertainty and trading of attention-grabbing stocks amplify the disposition effect and that differences in the effect can be explained by mutual fund managers' investment styles. Given that mutual funds hold a large fraction of the U.S. equity market, our findings add to the ongoing discussion whether professional investors can create stock mispricings and shed new light on market efficiency.     

Individual Characteristics and the Disposition Effect: The Opposing Effects of Confidence and Self-Regard

We conduct two experiments to examine potential causes of the disposition effect. In Experiment 1, we rule out beliefs in mean reversion as a cause of the disposition effect. Although a belief in the mean reversion of stock prices should be independent of whether an investor owns or only follows the stock, we show only investors who own the stock behave as though prices will reverse. In Experiment 2, participants buy and sell securities over multiple periods. We find that self-regard and investing confidence (two types of self-esteem) have opposing influences on investors’ tendency to hold losing investments. Investors with lower self-regard hold losing investments longer than those with higher self-regard, and investors with higher confidence hold losing investments longer than those with lower confidence. We focus on investors’ tendency to hold losing stocks too long because prior research suggests the gain versus loss sides of the disposition effect are driven by different biases.     

市场分割下中国股市反馈交易实证研究——来自A股、B股和H股市场的经验证据

文章在行为资本资产定价模型(BCAPM)的基础上,通过借鉴Watanabe(2002)的方法,建立了GJR-GARCHM(1,1)-M模型,充分考虑中国股票市场处于分割状态的现状,使用基本覆盖A股、B股和H股市场全部交易历史的市场指数日收盘价数据,对A股、B股和H股市场的反馈交易行为进行研究和比较,结果显示:A股和B股市场都存在显著的正反馈交易效应,反馈交易行为主要取决于波动率水平和市场涨跌两个因素;与成熟股票市场类似,H股和红筹股市场的正反馈交易行为不显著;A股市场的反馈交易行为受市场涨跌因素影响更大,而B股市场的反馈交易行为主要由波动率水平决定;深市比沪市更容易出现正反馈交易者主导市场的现象。文章的研究不仅对行为资本资产定价理论的成立提供了经验性证据,而且对投资经理的实践操作和政策制定者的监管调控都具有一定的参考价值。     

Stock return autocorrelations and predictability in the Chinese stock market—Evidence from threshold quantile autoregressive models

This paper applies the threshold quantile autoregressive model to study stock return autocorrelations and predictability in the Chinese stock market from 2005 to 2014. The results show that the Shanghai A-share stock index has significant negative autocorrelations in the lower regime and has significant positive autocorrelations in the higher regime. It attributes that Chinese investors overreact and underreact in two different states. These results are similar when we employ individual stocks. Besides, we investigate stock return autocorrelations by different stock characteristics, including liquidity, volatility, market to book ratio and investor sentiment. The results show autocorrelations are significantly large in the middle and higher regimes of market to book ratio and volatility. Psychological biases can result into return autocorrelations by using investor sentiment proxy since autocorrelations are significantly larger in the middle and higher regime of investor sentiment. The empirical results show that predictability exists in the Chinese stock market.     

The Impact of U.S. Individual and Institutional Investor Sentiment on Foreign Stock Markets

This study examines the degree to which U.S. individual and institutional investor sentiments are propagated abroad. Previous studies construe investor sentiments as fully irrational; we find contrary evidence that individual and institutional investor sentiments are driven by both rational and irrational factors, with distinct effects on domestic and international stock market returns. The generalized impulse response functions from VAR model estimations show that U.S. institutional investor sentiments have varying degrees of impact on the equity markets of the U.K., Mexico, and Brazil, and no effect on Chile. Specifically, the individual investor sentiment effect is statistically significant only for the U.K market. Not surprisingly, the two classes of investor sentiments have a strong significant effect on the U.S. stock market returns. The response of the U.S. to individual investor sentiments is relatively more erratic, while the response to institutional investor sentiments is smoother. This difference in pattern becomes more visible when we consider the response of the foreign stock markets. We find significant effects of rational sentiments of institutional investors on the U.S., the U.K., Mexico, and Brazil. However, there is an insignificant effect of the irrational sentiments on the same set of countries. A direct implication of our empirical evidence is that it is important for international asset pricing models to consider the role of rational sentiments of institutional and individual investors on developed and emerging markets.     

The relationship between the Vietnam stock market and its major trading partners – TECM with bivariate asymmetric GARCH model

This study employs threshold error-correction model with bivariate Glosten–Jagannathan–Runkle-generalized autoregressive conditional heteroscedasticity model to examine the relationship between the Vietnam stock market and its major trading partners, the United States, Japan, Singapore and China. The results indicate that the Vietnam stock market and return risks are influenced by Japan and Singapore stock markets. We also find that the volatility of stock market in Vietnam and its trading countries have an asymmetrical effect. These findings could be valuable to individual investors and financial institutions holding long-run investment portfolios in the Vietnam stock market.