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。

A Study of Disposition Effect among China's Individual Investors: the Perspective of Irrational Beliefs

The disposition effect refers to a robust trading phenomenon in which both individual and institutional investors are more likely to sell an asset when it is at a gain than when it is at a loss. The disposition effect is common in the stock market, the futures market, the real estate market, and other financial markets. However, as widespread as the disposition effect is, the literature has not reached consensus on its mechanism. We extend the literature by showing the significant impact of investor sentiment on the disposition effect both theoretically and empirically.
The theory of investor preference and the theory of rational belief are the two main explanations for the disposition effect. Kahneman and Tversky's (1979) prospect theory attributes the disposition effect to the features of investors' preferences, as described by the S-shaped value function. Investors are more risk averse when facing profits and more risk seeking when facing a loss. Therefore, investors prefer to sell profitable stocks to realize gains and hold loss stocks to wait for recovery. One basic assumption of present prospect theory models and relevant modified models is that investors' expectations regarding the probability of stock price change are equal to the real probability (Barberis and Huang, 2008; Barberis and Xiong, 2009). As this assumption fails to describe the fact that investors usually have irrational expectations, the present prospect theory model does not include the documented impact of investor sentiment on trading behavior and asset pricing (Antoniou et al., 2013; Da et al., 2015). To fill this gap, we introduce investor sentiment into the prospect theory model and study the potential impact of investor sentiment on the disposition effect.
Irrational investors usually fail to properly estimate the price expectation of a risky financial asset (normally a stock). Therefore, we describe investor sentiment by using investor expectation bias on the probability of stock price change for different cases (Barberis et al., 1998) and modify the prospect theory model based on the binomial tree model in Barberis and Xiong (2009). We define investors' irrational expectations regarding the probability of stock price increase as π_s and the actual probability of stock price increase as π_o. The difference (Δ) between π_s and π_o represents the extent to which an investor overestimates the probability of stock price increase (Dumas et al., 2009; Shefrin and Statman, 1994). When market sentiment is high, investors are often more overconfident and more optimistic, such that Δ>0. We construct a discrete-time portfolio decision-making model derived from investors' irrational expectations and obtain a series of simulation results for investors' optimal portfolio choices under limited capital based on the parameters in Barberis and Xiong (2009) and the PGR/PLR measures of the disposition effect used in Odean (1998). The results indicate that investors' disposition effect decreases as Δ increases, showing the essential role of investor sentiment in the disposition effect.
We base this study on a transaction-level dataset of approximately 1.77 million individual investors from a large anonymous national Chinese broker from 2007 to 2009. We also include investors' daily positions so that we can match and calculate the PGR and PLR indexes. The sample covers a striking bull and bear period for China's stock market, which offers a natural environment in which to study the impact of investor sentiment on the disposition effect. Consistent with previous studies, our results show strong evidence of the disposition effect in China's stock market. On average, the likelihood of a sale for Chinese stock investors is 20% higher when a gain is realized than when a loss is realized. We regress the monthly measure of the disposition effect on monthly market investor sentiment after controlling the market momentum variable. The results verify our hypothesis that investors' disposition effect decreases when market sentiment is higher. Specifically, the disposition effect is 0.1% lower when market sentiment increases by 1%. Additionally, the disposition effect is even weaker in stocks that are more difficult to evaluate (e.g., stocks with a low book-to-market ratio and lower capitalization) due to the mechanism of investor sentiment. Our results are robust when controlling the potential endogeneity using the dummy variable of the 2008 financial crisis as the instrumental variable.
We contribute to the literature by studying the impact of investor sentiment on the disposition effect both theoretically and empirically. Affected by sentiment, investors hold biased expectations about future stock prices, thus changing their selling decisions toward profits and losses. Our results also shed light on the optimization of investors' decision-making processes.