中国股票投资者的处置效应检验和参考价格选择

Abstract

Abstract: The disposition effect is a typical irrational behavior. Based on the linear regression model of volume-price, a new variable named "capital gain overhang"^[1]is introduced into this model to test whether Chinese stock investors show "disposition effect" when they are engaged in stock trading. And then, by comparing with the two common reference prices (the 5-year weighted average price and the 52-week high price), six new reference prices in our empirical model are put forward to find a more appropriate reference price in Chinese stock market. Meanwhile, through choosing different reference prices in empirical analysis, "disposition effecting" Chinese stock market on the whole is also checked. The research results show that Chinese stock investors present "disposition effect" on the whole. And the proposed new reference price (the 5-week weigted moving average price) is better than the previous commonly used reference prices in our empirical study. Therefore, using this price as a reference price is more reasonable when studying the disposition effect of entire stock market investors.

Key words: disposition effect, capital gain overhang, reference price, volume-price relation

CLC Number:

F830

REN De-ping, GONG Xu, WEN Feng-hua, YANG Xiao-guang. Chinese Stock Investors' Disposition Effect Testing and Reference Price Choosing[J]. Chinese Journal of Management Science, 2013, 21(3): 1-10.

References

[1] Grinblatt M, Han B. Prospect theory, mental accounting and momentum[J]. Journal of Financial Economics, 2005, 78: 311-339.
[2] Shefrin H M, Statman M. The disposition to sell winners too early and ride losers too long[J]. Journal of Finance, 1985, 40: 777-790.
[3] Odean T. Are investors reluctant to realize their losses[J]. Journal of Finance, 1998, 53: 1775-1798.
[4] Shapira Z, Venezia I. Patterns of behavior of professionally managed and independent investors[J]. Journal of Banking and Finance, 2001, 25(8): 1573-1587.
[5] Brown P, Chappel N, Da Silva Rosa R, Walter T. The reach of the disposition effect: Large sample evidence across investor classes[J]. International Review of Finance, 2006, 6: 43-78.
[6] Barber B M, Lee Y T, Liu Y J, Odean T. Is the aggregate investor reluctant to realize losses? Evidence from Taiwan [J]. European Financial Management, 2007,13(3): 423-447.
[7] Weber M, Camerer C. The disposition effect in securities trading: An experimental analysis [J]. Jorunal of Economic Behavior and Organization, 1998,33: 167-184.
[8] Oehler A, Heilmann K, Läger V, Oberländer M. Coexistence of disposition investors and momentum traders in stock markets:experimental evidence[J]. Journal of Internetional Financial Markets,Institutions and Money, 2003,13(5):503-524.
[9] Weber M, Welfens F. An individual-level analysis of the disposition effect: Empirical and experimental evidence. Working paper, University of Mannheim, 2009.
[10] Lakonishok J, Smidt S. Capital gain taxation and volume of trading[J]. Journal of Finance, 1986, 41: 951-974.
[11] Ferris S P, Haugen R A, Makhija A K. Predicting contemporary volume with historic volume at differential price levels: Evidence supporting the disposition effect[J]. Journal of Finance, 1988,43:677-699.
[12] Bremer M, Kato K. Trading volume for winners and losers on the Tokyo stock exchange [J]. Journal of Financial and Quantitative Analysis, 1996, 31:127-142.
[13] Szyszka A, Zielonka, P. The disposition effect demonstrated on IPO trading volume. Working Paper, Poznan University of Economics, 2007.
[14] 赵学军, 王永宏. 中国股市"处置效应"的实证研究[J]. 金融研究, 2001, 12(7): 31-35.
[15] 李新路, 张文修. 中国股票市场个人投资者"处置效应"的实证研究[J]. 当代经济科学,2005, (5): 76-80.
[16] 何基报, 鲁直. 什么影响着投资者选择卖出或继续持有[J]. 管理科学学报, 2006, 9(6): 53-62.
[17] 史永东, 李竹薇, 陈炜. 中国证券投资者交易行为的实证研究[J]. 金融研究, 2009, (11):129-142.
[18] 赵彦志, 王庆石. 我国证券投资基金"处置效应"行为研究[J]. 厦门大学学报, 2005, (6):55-63.
[19] 李学峰,何林泽,沈宁. 我国开放式证券投资基金与QFII"处置效应"比较[J]. 证券市场导报, 2010, (9): 71-77.
[20] 池丽旭, 庄新田, 王健. 基于IPO交易量对我国投资者处置效应的研究[J]. 管理学报,2008,(1):118-122.
[21] 池丽旭, 庄新田. 投资者的非理性行为偏差与止损策略——处置效应、参考价格角度的实证研究[J]. 管理科学学报, 2011, 14(10): 54-66.
[22] Baucells M, Weber M, Welfens F. Reference-point formation and updating[J]. Management Science, 2011, 57(3): 506-519.
[23] George T J, Hwang C. The 52-week high and momentum investing[J]. Journal of Finance, 2004, 59: 2145-2176.
[24] Huddart S, Lang M, Yetman M H. Volume and price patterns around a stock's 52-week highs and lows:theory and evidence[J]. Management Science,2009,55(1):16-31.
[25] Kliger D, Kudryavtsev A. Reference point formation by market investors[J]. Journal of Banking and Finance, 2008,32:1782-1794.
[26] Clark P K. A subordinated stochastic process model with finite variance for speculative prices[J]. Econometrica, 1973, 41: 135-155.
[27] Richardson C, Sefcik S E, Thompson R. A test of dividend irrelevance using volume reaction to a change in dividend policy[J]. Journal of Financial Economics, 1986,17: 313-333.
[28] Karpoff J. The relation between price changes and trading volume: A survey [J]. Journal of Financial and Quantitative Analysis, 1987, 22: 109-126.
[29] Kahneman D, Tversky A. Prospect theory: An analysis of decision under risk[J]. Econometrica, 1979,47:263-91.
[30] Lamont O.A, Thaler R H. Anomalies: The law of one price in financial markets[J]. Journal of Economic Perspectives, 2003, 17(4): 191-202.
[31] 文凤华, 黄德龙, 兰秋军, 杨晓光. 过度自信、后悔厌恶对收益率分布影响的数值模拟研究[J]. 系统工程理论与实践, 2007, (7): 10-18.
[32] Frazzini A, The disposition effect and under-reaction to news[J]. Journal of Finance, 2006, 61:2017-2046.
[33] Vassilis A E, George N L. The price impact of the disposition effect on the ex-dividend day of NYSE and AMEX common stocks. Working Paper, Athens University of Economics and Business, 2011.

Chinese Stock Investors' Disposition Effect Testing and Reference Price Choosing

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 5

Metrics

Comments

Recommended 10

[1]	XIAO Lin, ZHAO Da-ping, FANG Yong. An Empirical Analysis on Disposition Effect of Chinese Margin Trading [J]. Chinese Journal of Management Science, 2018, 26(9): 41-51.
[2]	ZHOU Er-feng, ZHANG Ting-long, NI Lei, FANG Dan, FANG Chang. Advertising and Price Decisions Considering Reference Price Effect [J]. Chinese Journal of Management Science, 2018, 26(8): 75-85.
[3]	RAN Zhao, WANG Yuan-chang. The Optimal Investment Decision to the Inattentive Behaviour [J]. Chinese Journal of Management Science, 2014, 22(1): 29-36.
[4]	WU Ji-lin. Nonlinear Relationship of Tail Dependence between Price and Trading Volume in Chinese Stock Markets [J]. Chinese Journal of Management Science, 2012, 20(5): 16-23.
[5]	ZHAI Ai-mei, ZHOU Tong. Volume-Price Relationship Analysis in Stock Market Under Assumptions on Market Participants’ Behaviors： Model and Empirical Tests [J]. Chinese Journal of Management Science, 2011, 19(4): 31-37.