| 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 |
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| 引用本文： | 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. |
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| 作者姓名： | 池丽旭 庄新田 |
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| 作者单位： | 1. 沈阳农业大学经济管理学院,沈阳,110866
2. 东北大学工商管理学院,沈阳,110004 |
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| 基金项目： | 国家自然科学基金资助项目(70871022); 中央高校基本科研业务费专项资金资助项目(N090606002) |
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| 摘 要： | 应用前景理论思想,以中国证券市场中存在的处置效应为切入点,系统分析了投资者的行为偏差和风险偏好特征,并且进一步确定了决策者投资过程中的参考价格水平.实证结果表明,1)宏观面因素直接影响投资者对风险的态度.股权分置改革前,投资者的非理性较强,表现出长期持有损失股票,而过早地卖出盈利股票的处置效应特征；股权分置改革后,投资...
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| 关 键 词： | 前景理论 投资者行为 处置效应 参考价格 |
Investors' behavioural biases and stop-loss strategy: Empirical study based on disposition effect and reference point |
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| CHI Li-xu,ZHUANG Xin-tian.Investors' behavioural biases and stop-loss strategy: Empirical study based on disposition effect and reference point[J].Journal of Management Sciences in China,2011,14(10):54-66. |
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| Authors: | CHI Li-xu ZHUANG Xin-tian |
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| Institution: | CHI Li-xu1,ZHUANG Xin-tian2 1.College of Economics & Management,Shenyang Agricultural University,Shenyang 110866,China,2.School of Business Administration,Northeastern University,Shenyang 110004 |
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| Abstract: | This paper focuses on the investors' behavioural biases and their preference property in the Chinese stock market,and further confirms the reference price for investors.The results show that macroeconomic factors affect investors' preferences.Before the split-share structure reform,investors preferred to ride losers too long,and sell winners too early.However,after the reform,investors tend to hold the gains.On the other side,house money effect weakens the disposition effect.This study also finds that the i... |
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| Keywords: | prospect theory investors' behavior disposition effect reference price |
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