中国市场上的投资者的处置效应问题研究

【作者】 洪婕；

【导师】 李胜宏；

【作者基本信息】 浙江大学 ， 运筹与控制、金融数学， 2003， 硕士

【摘要】 随着我国证券市场的逐渐规范化，应用现代金融理论对国内市场的研究也逐渐增多。 传统的金融学理论假设投资者是绝对理性的，这个前提假设在市场不断的发展中遇到了无法解释的现象，20世纪60年代行为金融学在这种情况下兴起。行为金融学假设投资者只具有部分理性，而非绝对理性，将人类心理与行为纳入金融的研究框架，使得金融理论与实际之间的沟壑有了弥合的可能。虽然由于行为金融学本身的涉及到人类心理与行为研究的难度，存在很多问题，但从20世纪80年代起，随着期望理论及行为组合理论的提出，行为金融学已经获得长足的发展。 处置效应是行为金融学的一个重要组成部分，指一种比较典型的投资者认知偏差，表现为投资者对投资赢利的“确定性心理”和对亏损的“损失厌恶心理”，在行为上主要表现为急于卖出赢利的股票，轻易不愿卖出亏损股票的现象等。这是投资者由于受到心理因素的影响而表现出某些明显行为特征，这种行为的非理性特点很难用传统的投资决策理论解释。 本文是采用实证的方法，研究中国证券市场上的处置效应问题。对投资者在某个时间段内的投资行为进行考查，检验投资者是否存在这种“售盈持亏“的心理偏向，有无强烈的处置效应表现，并对检验的数据结果进行理论分析，提出解释，最后对于将来的研究方向给出一些推测。更多还原

【Abstract】 With the standardization of China financial market, there are more and more researchers applying modern financial theory into China financial marketThe conventional financial theory is based on the assumption that investors are absolutely rational, which is challenged in the current ever-changing market situation. In 1960s, the Behavioral Finance rose up to cope with the new challenges. The Behavioral Finance assumes that investors are partly rational, not absolutely rational. It combines human psychology and behavior into the framework of financial theory, which make it possible to eliminate the gap between financial theory and reality. The Behavioral Finance involves human psychology and behavior, which is somehow a field with much uncertainty. But with the development of Expectation Theory and Behavioral Portfolio Theory, the Behavioral Finance has made great progress despite those difficulties.Disposition reaction is an important element of the Behavioral Finance. It refers to a typical recognition errancy, the "assurance attitude" to invest benefit and "dislike attitude" to invest loss. In the invest behavior, it is embodied as the willingness to sell out stocks with profit and unwillingness to sell out stocks with loss, etc. The reason for the irrational behavior of investor is the impact of psychological factors, which is difficult to explain in conventional financial theory.In this paper, we investigate the disposition reaction of China financial market based on real-world investor behavior case study. Certain investors’ invest behavior during a time period is analyzed to verify whether there are this kind of " sell benefit and hold loss" psychological tendency and disposition reaction. We give out the theory explanation based on data statistics. The direction for further study in the future is also provided.更多还原