中国个人投资者的过度自信和过度交易研究

The Study on Overconfidence and Overtrading of Chinese Individual Investors

本文利用中国某证券公司个人投资者股票交易数据,从行为金融学的过度自信理论出发,采用投资者前期的超额净收益衡量过度自信行为,检验了过度自信对个人投资者的交易频率和投资收益的影响。实证研究发现:在控制其它因素后,(1)过度自信程度随着投资收益的增加而累积,个人投资者的超额换手率与前期收益率显著正相关;(2)随着投资经验的积累,个人投资者对自身能力的判断更加客观,前期收益对过度交易的影响程度逐渐降低;(3)过度自信增加了犯错概率,投资者的过度交易显著降低了他们的净收益。

Using account data from a security firm in China, this paper investigates how overconfidence affects investors＇ trad- ing frequency and trading returns. We find that after controlling for other factors： （1） As overconfidence is enhanced in inves- tors who experience high returns, there is a positive relationship between past performance and subsequent trading activity; （2） This pattern is less stronger among those experienced investors because investors learn their ability more precisely with more trading experience; （3） Overconfidence increases the probability of wrong investment decisions, those who trade most always have lower net returns.