资产组合调整惯性行为研究:实验室证据

Investors' portfolios inertial behavior:Laboratory evidence

资产组合理论认为当风险和收益变动后,投资者会即时调整资产组合,然而现实观测到的结果却与理论预测之间存在巨大分歧,投资者存在明显的调整惯性行为.基于此,本文通过在实验室构造简单的投资环境,基于动态面板系统GMM模型检验了投资者资产组合的调整行为.实验结果表明:即使在风险状态和风险波动趋势事先已知的条件下,实验参与人亦存在明显的调整惯性,无论是风险呈现逐步上升还是下降趋势,都没有观测到实验参与人资产组合随风险状态改变而调整;且在不同的风险变动趋势下,参与人资产组合调整行为间的差异并不显著;学习效应和实际投资经验的确能够有效地降低其资产组合调整惯性,然而,即使是实际投资经验较为丰富的MBA参与人,也表现出较为明显的处置效应.本文揭示了投资者普遍存在的资产组合调整惯性异象,并对资本市场中投机性泡沫的产生和突然挤出提供了实验室研究证据.

Portfolio theory predicts that changes in the risk and return of assets will lead to an immediate ad- justment of the portfolio. However, a gap always exits between the theoretical prediction and empirical evi- dence, and inertia behavior can be observed during the process of portfolio adjustment. To examine the inves- tors＇ portfolios inertial behavior, evidence is drawn from a simple investment experiment which is set up in a laboratory. Experimental results show that even the participants have realized the risk changes and fluctuation tendency in advance, an obvious inertia behavior can also be observed. The participants tend to not adjust the portfolio while the risk changes; whether the risk fluctuation tendency is increased or decreased, participants＇ portfolio between the different changes in risk tendency are not significant. Further, learning and the actual in- vestment experience can indeed effectively reduce the extent of inertia. However, even the MBA participants who have more experience in investing show an obvious disposition effect. Therefore, this article suggests a portfolio adjusting inertia behavior which is weird but prevailing, and provides evidences on bubble generation and extrusion.