Abstract: The disposition effect is the tendency to sell winning assets too soon, while holding onto losers too long. Since the start of securities margin business in 2010, the liquidity and activeness of the market has been greatly enhanced, along with the increase in the speculation brought by credit trading and the magnification of periodic volatility, which provides us with a unique sample for studying the disposition effect. In this paper, data from a famous national brokerage firm, which is comprised of 3239305 trading records of 30512 accounts from November 2014 to October 2016, is used. The classic PGR-PLR measure and the Cox proportional hazard model have been utilized to test the existence of disposition effect in the securities margin market, and the survival analysis is used to study the demographical factors influencing disposition effect. Empirical evidence shows that, overall, disposition effect exists in China's margin trading market. The female investor exhibits a stronger disposition effect than the male investor. People of middle age are more disposition-prone than people under the age of 35 while the magnitude of disposition effect of people of age over 50 is the largest. Using the number of different types of contracts that have been bought during the observation period and the overall volumes of contracts respectively as proxies for an investor's investment level, both results demonstrate that the better an investor is at investment, the lower his disposition effect is. Our results are robust when we rerun the model using Weibull hazard function. Our paper helps investors gain insight into their inherent behavioral bias and thus guide them to make rational investment decisions.

Key words: disposition effect, margin trading, cox proportional hazard model, behavioral finance