赌场盈利效应、投资者风险承担与价格波动——基于期货市场的证据

House money effect, investors’ risk taking and price fluctuation——Evidence from the futures market

投资者风险承担行为如何受到前期投资损益的影响?基于2009年1月至2012年6月间共计4815名期货市场投资者的交易明细数据,本文讨论二者在交易日内的作用关系。在本文所使用的样本范围内,投资者表现出单纯的赌场盈利效应,与此同时,已实现收益和未实现收益都激励投资者的风险承担。基于投资者异质性的分析表明,投资者类型与投资者交易活跃程度对赌场盈利效应有重要影响。研究发现,赌场盈利效应会恶化投资者的风险回报,也即印证该行为偏差的非理性。进一步分析表明,对账面盈利的行为偏差诱使投资者对市场定价的高参与性,进而可能会对市场价格及其波动产生一定的影响。投资经验有助于缓解投资者的行为偏差,并抑制投资者的异常定价参与。本文的实证结果表明投资经验、市场参与深度对克服投资者行为偏差、缓解市场价格异常波动有正面作用。

How is the investor’s risk-taking behavior affected by prior outcomes?Based on a set of 4815 futures market investors trading data from January 2009 to June 2012,the paper examines the risk-taking behavior subject to prior outcomes in trading days.It finds that investors only have the problem of house money effect,and both the realized and unrealized income encourage investors to take more risks.The type of investor and the trading frequency have important influence on the effect.The house money effect worsens the risk return of investors,which confirms the irrationality of the behavior.Further analysis shows that the house money effect induces investors to participate more in market pricing,which may have a certain impact on the market price and its fluctuation.Investment experience can help to alleviate the problem.The implication of this paper is that the accumulation of investment experience and the improvement of market participation depth may have a positive effect on overcoming investor behavior deviations and alleviating abnormal market price fluctuations.