有限理性个体投资者行为机理的实证研究

Empirical Study on Behavior Mechanism of Individual Investors with Limited Rational

基于投资者认知模式和决策选择的理论分析,探讨有限理性投资者的行为机理,构建相应的结构方程模型,并用来自中国中小投资者的样本数据进行实证检验。结果表明,有限理性投资者对信息进行认知时会产生信息识别、信息编辑和信息评价3个阶段的认知偏差,基于这些有偏认知的投资决策也将是有偏的,并最终导致个体投资者的收益水平与市场之间存在差异;决策偏差对绩效差异有显著的直接影响,3个阶段的认知偏差通过决策偏差间接影响投资绩效,认知偏差、决策偏差和绩效差异之间存在着依次递进的因果关系,绩效差异对识别偏差的反馈关系不显著。

Based on the theoretical analysis of investor cognition and decision-making, an empirical model is set up by using the data of individual investors in China. The results show that： limited rational investors have cognitive biases on the stages of information identification, edition and evaluation, which in turn induce behavioral biases in selecting stock and trading time and finally produce investment performance deviation compared with market level; decision bias has significant effect on performance deviation and cognitive biases in three phases have indirect effect on performance deviation through decision bias; because cognition has the attributes of parallel processing and distributed memorizing, cognitive outcomes in three cognitive phases all have effect on decision bias and this effect gets strong in sequence; the feedback performance deviation has on identification bias is insignificant.