信息不对称、过度自信与股价变动

信息传导的非同步和投资者情绪变化是股票市场的两个典型特征,前者会引发投资者之间出现信息不对称问题,后者主要体现为投资者过度自信,两者共同作用影响股票价格变动。本文将信息不对称和投资者过度自信情绪置于同一个分析框架,建立两阶段动态序贯定价理论模型研究现实市场上信息传导过程中股价变动的内在机制。结果表明:(1)面临新信息的进入,投资者对股票收益预期的调整与均衡价格之间具有正相关关系;(2)面临有利消息时,过度自信投资者比例越大,股票的均衡价格越高,投资收益将越低;面临不利消息时则相反;(3)随着过度自信投资者比例以及过度自信程度升高,市场风险溢价将下降;(4)投资者群体在信息传导过程中出现分化,对股价变动形成异质信念,未获取信息和获取信息但未出现过度自信的投资者认为股价被高估,获取信息且出现过度自信的投资者认为价格被低估,促使更多的交易,引发市场成交量和股价变动;(5)过度自信投资者比例与过度自信程度提高均会对市场效率产生正向影响,而对市场深度具有负向效应。最后,基于理论结果对非对称性和持续性等典型的市场波动性特征进行解释。     

Does the location of stock exchange matter? A within-country analysis

The current study documents an interesting phenomenon that retail investors prefer to invest in stocks listed at the stock exchange that is geographically close to them in China. This pattern is robust when we control for the well-documented local bias within a country. Among companies with similar distances to both stock exchanges and companies headquartered locally, investors still display a strong tendency to invest in locally-listed stocks. Among stocks with similar distances to both stock exchanges, those listed in Shanghai (Shenzhen) co-move more in returns and trading volumes, with the benchmark at the Shanghai (Shenzhen) stock exchange. Such a preference for local exchange seems not to be motivated by information advantage, because investors do not obtain abnormal returns from their trades on stocks listed nearby. Our findings provide additional evidence that non-information-based familiarity bias induces investment and that such investor bias and exchange-level sentiment influence asset price formation.     

Hedging, Familiarity and Portfolio Choice

We exploit the restrictions of intertemporal portfolio choicein the presence of nonfinancial income risk to test hedgingusing the information contained in the actual portfolio of theinvestor. We use a unique data set of Swedish investors withinformation broken down at the investor level and into variouscomponents of investor wealth, income, and demographic characteristics.Portfolio holdings are identified at the stock level. We showthat investors do not hedge but invest in stocks closely relatedto their nonfinancial income. We explain this with familiarity,that is, the tendency to concentrate holdings in stocks to whichthe investor is geographically or professionally close or thathe has held for a long period. We show that familiarity is nota behavioral bias, but is information driven. Familiarity-basedinvestment allows investors to earn higher returns than theywould have otherwise earned if they had hedged.     

How Do Different Types of Investors React to New Earnings Information?

Abstract:   The purpose of this study is to investigate how different types of investors react to new earnings information. Using the extremely comprehensive official register of share holdings in Finland, we find that the majority of investors are more likely to sell (buy) stocks in a company after a positive (negative) earnings surprise and that they are biased towards buying after the disclosure of an annual report. Large investors show behaviour opposite to that of the majority of investors. We consider several possible explanations for this heterogeneous investor behaviour, of which differences in investor overconfidence emerges as the strongest candidate.     

Sensation Seeking, Overconfidence, and Trading Activity

This study analyzes the role that two psychological attributes—sensation seeking and overconfidence—play in the tendency of investors to trade stocks. Equity trading data from Finland are combined with data from investor tax filings, driving records, and mandatory psychological profiles. We use these data, obtained from a large population, to construct measures of overconfidence and sensation seeking tendencies. Controlling for a host of variables, including wealth, income, age, number of stocks owned, marital status, and occupation, we find that overconfident investors and those investors most prone to sensation seeking trade more frequently.     

Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors

This paper investigates whether familiarity induced by ambiguity aversion can help explaining the local bias phenomenon among individual investors. Using geographic closeness as a proxy for investor familiarity, we find that investors pull out of (unfamiliar) remote stocks and pour into (familiar) local stocks during times of increased market uncertainty. Moreover, the magnitude of this ‘flight to familiarity’ increases in the spread of an investor's ambiguity (about expected returns) between local and remote stocks. Our results prove robust to a number of alternative explanations of local bias. Specifically, we rule out a ‘home-field advantage’, where investors are able to translate information advantages about nearby companies into excess returns on their local stockholdings. We conclude that individual investors’ local bias is induced by ambiguity aversion in the portfolio selection process rather than a trading strategy based on superior information about local companies.     

What factors affect behavioral biases? Evidence from Turkish individual stock investors

This paper investigates behavioral biases among Turkish individual stock investors during 2011. Using transaction data, we analyze how common disposition effect, familiarity bias, representativeness heuristic, and status quo bias are, what factors affect these biases and how these biases relate to each other including overconfidence and return performance. We find that biases are common among investors. Male, younger investors, investors with lower portfolio value, and investors in low income, low education regions exhibit more familiarity bias. Female, older investors and investors with high portfolio values are more subject to disposition effect and representativeness heuristic. Individuals in the opposite edge of overconfidence are subject to status quo bias. Overconfidence is positively correlated with familiarity bias. Representativeness heuristic deteriorates wealth while status quo bias results in higher trade performance. Familiarity bias has a nonmonotonic effect on return; lower (higher) levels of familiarity bias have a negative (positive) effect on return. To the best of our knowledge, this is one of the few studies that focus on nationwide data and analyze the biases simultaneously. Using a unique dataset, we extend the findings of the behavioral finance literature to emerging markets. Besides, analysis of multiple biases helps us better understand the relationship among biases.     

Looking for Someone to Blame: Delegation,Cognitive Dissonance,and the Disposition Effect

We analyze brokerage data and an experiment to test a cognitive dissonance based theory of trading: investors avoid realizing losses because they dislike admitting that past purchases were mistakes, but delegation reverses this effect by allowing the investor to blame the manager instead. Using individual trading data, we show that the disposition effect—the propensity to realize past gains more than past losses—applies only to nondelegated assets like individual stocks; delegated assets, like mutual funds, exhibit a robust reverse‐disposition effect. In an experiment, we show that increasing investors' cognitive dissonance results in both a larger disposition effect in stocks and a larger reverse‐disposition effect in funds. Additionally, increasing the salience of delegation increases the reverse‐disposition effect in funds. Cognitive dissonance provides a unified explanation for apparently contradictory investor behavior across asset classes and has implications for personal investment decisions, mutual fund management, and intermediation.     

Institutional investors: Arbitrageurs or rational trend chasers

This paper studies the relationship between institutional investor holdings and stock misvaluation in the U.S. between 1980 and 2010. I find that institutional investors overweigh overvalued and underweigh undervalued stocks in their portfolio, taking the market portfolio as a benchmark. Cross-sectionally, institutional investors hold more overvalued stocks than undervalued stocks. The time-series studies also show that institutional ownership of overvalued portfolios increases as the portfolios' degree of overvaluation. As an investment strategy, institutional investors' ride of stock misvaluation is neither driven by the fund flows from individual investors into institutions, nor industry-specific. Consistent with the agency problem explanation, investment companies and independent investment advisors have a higher tendency to ride stock misvaluation than other institutions. There is weak evidence that institutional investors make a profit by riding stock misvaluation. My findings challenge the models that view individual investors as noise traders and disregard the role of institutional investors in stock market misvaluation.     

Overconfidence among option traders

The investor overconfidence theory predicts a direct relationship between market‐wide turnover and lagged market return. However, previous research has examined this prediction in the equity market, we focus on trading in the options market. Controlling for stock market cross‐sectional volatility, stock idiosyncratic risk, and option market volatility, we find that option trading turnover is positively related to past stock market return. In addition, call option turnover and call to put ratio are also positively associated with the past stock market return. These findings are consistent with the overconfidence theory. We also find that overconfident investors trade more in the options market than in the equity market. We rule out explanations other than investor overconfidence, such as momentum trading and varying risk preferences, for our findings.     

Attention Spillover in Asset Pricing

Exploiting a screen display feature whereby the order of stock display is determined by the stock's listing code, we lever a novel identification strategy and study how the interaction between overconfidence and limited attention affect asset pricing. We find that stocks displayed next to those with higher returns in the past two weeks are associated with higher returns in the future week, which are reverted in the long run. This is consistent with our conjectures that investors tend to trade more after positive investment experience and are more likely to pay attention to neighboring stocks, both confirmed using trading data.     

中国个人投资者处置效应研究——一个非理性信念的视角

处置效应是指投资者过早卖出盈利股票而长期持有亏损股票的现象。大量文献表明金融市场投资者存在显著的处置效应,但其产生的原因和机理存在争议。本文在前景理论框架下,构建了包含投资者非理性预期的离散时间投资组合决策模型,发现处置效应随投资者情绪升高而减弱。本文使用我国某券商2007—2009年近177万个人投资者股票账户的交易数据进行了实证分析,得到与理论模型预测的一致结果,即投资者情绪与投资者处置效应之间呈现显著的负相关关系。而且,受情绪影响,投资者处置效应在估值难度较大的股票中更弱。本文结论对理解投资者处置效应、优化投资者卖出决策和加强资本市场基础制度建设具有一定理论和实践意义。     

Determinants of individual investment decisions in investment‐based crowdfunding

We investigate determinants of investment decisions in investment‐based (equity and bond) crowdfunding campaigns, using a novel investment‐, investor‐ and campaign‐level database, where equity refers to investments in entrepreneurial start‐ups and bonds to large real estate projects. We find that investors who have higher social interactions invest more. Social interactions are important in an equity crowdfunding context but do not affect participation in bond investments. This is consistent with the view that investors' social networks help reduce information asymmetry. Women invest less in the riskiest (equity) investments but more in safer ones (bonds). These findings are better explained by differences in risk aversion than differences in overconfidence between men and women. Overall, the findings contribute to the understanding of how investment‐based crowdfunding can be a viable source of entrepreneurial finance and how entrepreneurs' campaign decisions affect investor participation in this new form of entrepreneurial finance.     

Heterogeneity in asset allocation decisions: Empirical evidence from Switzerland

We analyze the heterogeneity in asset allocation decisions of different investor groups in response to changes in the macroeconomic environment. Using a new data set that includes the monthly portfolio holdings of private, commercial, and institutional investors deposited with Swiss banks, we estimate the relationship between equity and bond holdings and common business cycle indicators. Regression analysis indicates that private investors do not systematically move from stocks into bonds by selling stocks to institutional investors and purchasing bonds from them in adverse macroeconomic states. A VAR-error correction framework including cointegration and error correction restrictions suggests that the investment behavior of commercial investors leads and private investors follow in their investment decisions only slowly over time. The asset allocation decisions of institutional investors are not affected by the actions of private and commercial investors. Our results refute a principle of “institutional irrelevance”.     

Effect of emotion regulation as a de-biasing mechanism on overconfidence in investment behavior

Overconfidence is a bias closely associated with strong positive emotions such as pride. Strong positive emotions can hamper effective decision-making. This paper is predicated on the hypothesis that if investors with a pronounced tendency toward overconfidence can regulate strong positive emotions, they will be able to reduce bias and avoid subpar investment performance. We investigated the relationships among overconfidence, positive emotional reactions, and strategies for regulating emotions after a gain in the stock investment area, where investors succumb to overconfidence and important financial decisions are made. Identifying the differences in cognitive processes and emotion regulation strategies, which more or less overconfident investors exhibit, will in turn provide a de-bias mechanism to reduce overconfidence. The findings of this research will help investors avoid overconfidence by using strategies for emotional regulation reported in this study in order to achieve decision excellence.     

Overconfidence and emotion regulation failure: How overconfidence leads to the disposition effect in consumer investment behaviour

Investment decisions and outcomes often entail a myriad of emotions. In this article, the authors examine overconfidence and its effect on investment behaviour. The authors show that overconfident investors tend to trade in greater volumes and exhibit stronger disposition effect. Previous research has shown disposition effect to be an outcome of loss aversion and lack of self-control, and this article shows that the disposition effect is also caused by emotions such as ‘pride’ and ‘shame’, which shows up to a greater degree in overconfident people. Overconfident consumers are prone to realize gains early, in order to feel pride and hold on to losing stocks because admitting losses creates shame. It is also shown that overconfident investors trade in greater volumes and have greater ‘illusion of control’.     

投资者教育发挥作用了吗?——来自公募基金个人投资者调查数据的证据

投资者教育是保障资本市场平稳运行、良性发展的重要举措,也是我国资本市场重要的基础性制度建设。本文利用20000多份全国公募基金个人投资者调查数据,分析了投资者教育对基金投资收益的影响,并基于行为金融学框架探究了其背后的作用机制。以往文献研究表明,金融知识水平对投资收益会产生显著影响,本文研究发现,获取金融知识的渠道也会影响投资收益。相对于自己学习金融知识、相关工作经验累积金融知识、向亲戚朋友学习金融知识,投资者教育(如参加金融机构的投资教育活动、接受金融经济类课程或培训)更有助于投资者缓解趋势追逐、频繁交易、处置效应等交易行为偏差,从而获得更高的投资收益。进一步分析表明,投资者教育通过提高“理性程度”来提升基金投资盈利概率、投资总收益率和年均收益率的中介效应分别为19.41%、17.09%和12.75%。此外,不同群体参与投资者教育的积极性和受教育效果存在显著差异,投资者教育要更多采取“分类教育”的形式。本文研究对进一步加强投资者教育、更好地推动资本市场发展具有一定的参考意义。     

Conflicts of interest in sell-side research and the moderating role of institutional investors

Because sell-side analysts are dependent on institutional investors for performance ratings and trading commissions, we argue that analysts are less likely to succumb to investment banking or brokerage pressure in stocks highly visible to institutional investors. Examining a comprehensive sample of analyst recommendations over the 1994–2000 period, we find that analysts’ recommendations relative to consensus are positively associated with investment banking relationships and brokerage pressure but negatively associated with the presence of institutional investor owners. The presence of institutional investors is also associated with more accurate earnings forecasts and more timely re-ratings following severe share price falls.     

Are paper winners gamblers? Evidence from Australian retail investors

This study examines stock market gambling using a comprehensive set of investor characteristics and past portfolio performance measures. We find that retail investors overinvest in ‘lottery stocks’, stocks with gambling‐like properties. Significant portfolio underperformance is the result of gambling through lottery stocks. Investors are more likely to gamble following recent portfolio paper gains, regardless of realised performance, providing new evidence that paper gains trigger a house money effect. Investors trading greater values or holding more stocks, and older and female investors, are less likely to invest in lottery stocks.     

Institutions and Individuals at the Turn-of-the-Year

This article evaluates the tax-loss-selling hypothesis against the window-dressing hypothesis as explanations for turn-of-the-year anomalies. We examine differences between securities dominated by individual investors versus those dominated by institutional investors and find that the effect is more pervasive in the former. Controlling for capitalization, we find that in early January (late December), stocks with greater individual investor interest outperform (underperform) stocks with greater institutional investor interest. These results hold for both stocks that previously appreciated in value and stocks that previously depreciated in value. The results are most consistent with the tax-loss-selling hypothesis as an explanation for the turn-of-the-year effect.