过度自信、风险偏好和资产配置——来自中国城镇家庭的经验证据

Overconfidence, Risk Preference and Portfolio Choice——An Empirical Evidence from Chinese Urban Households

基于2013年中国家庭金融调查,本文研究了心理偏误对家庭风险市场投资的影响。通过测算个体对房屋估值时的系统性偏误构造了过度自信指标,研究发现过度自信增加了家庭的风险市场参与概率,并提高了风险市场参与规模,在使用工具变量法和稳健性检验后依然成立。过度自信个体持有风险资产种类更多、负债更高、投资策略更加非理性、交易次数频繁却未带来更高的收益。本文的研究结果有助于理解中国居民心理特征对金融市场参与的影响。

We employ representative micro-data to study the effect of individual psychological bias on investment behavior. We construct individual overconfidence by measuring systematic bias when estimating self-owned housing value. Empirical evidence shows that 1 standard deviation increase in overconfidence is associated with 1.29% increase in the probability of participating in stock market, and 0.42 S.D. increase in risky assets holding. We also find that overconfident individuals tends to hold more risky assets, take more debt, concentrate investments in single firms, trade frequently. Our research helps to understand the determinant of risky market participation from the perspective of psychological factors.