后悔厌恶心理对投资者行为影响的实证分析

Empirical Analysis of the Regret Aversion's Effect on Investors' Behavio

基于后悔厌恶的心理因素,投资者会表现出持亏卖盈的行为偏好。本文利用中国个体投资者交易账户的交易数据对中国股票市场个体投资者“处置效应”进行了实证分析,并考察了中国股票市场是否存在“十二月效应”对“处置效应”的影响。本文研究表明,中国个体投资者存在显著的“处置效应”,并在十二月份存在“反处置效应”现象。

The psychology of regret aversion usually forces the investors to display a bias of selling winners and holding losers. Using the data of China＇s individual investors, this article studies the disposition effect of China＇s stock market and researches whether the December effect will influence disposition effect. The result shows that among China＇s individual investors there exists distinct disposition effect and in December there exists reverse disposition effect.