机构投资者与个人投资者非理性行为差异研究
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摘要
机构投资者与个人投资者是证券市场的重要组成部分,其非理性程度直接影响着市场的健康稳定。本文基于有情境元素的问卷调查,构建包含投资者类别为自变量,年龄和性别为控制变量,16种常见非理性行为为因变量的分析框架,实证检验机构投资者与个人投资者非理性行为差异。结果表明,中国机构投资者与个人投资者都存在严重的非理性行为;相比机构投资者,个人投资者非理性程度更为严重;机构投资者与个人投资者在偏好逆转、证实性偏差、沉没成本、模糊厌恶、处置效应和损失厌恶方面存在显著差异。本研究为投资者防范非理性行为提供建议,为市场稳定发展提供参考。
Individual and institutional investors are important components of the securities market,and their irrationality directly affects the health and stability of the market.Based on the questionnaire data of contextual factors,this paper constructs an analysis framework which regards the investor category as the independent variable,age and sex as the control variables,and 16 common irrational behaviors as the dependent variables,and empirically tests the irrational behavior differences between,and individual investors.The results show that there are widespread irrational behaviors among institutional and individual investors in China;individual investors are more irrational than institutional investors;and institutional investors and individual investors have significant differences in preference reversal,confirmation bias,sunk cost effect,ambiguity aversion,disposition effect and loss aversion.The research provides suggestions for investors to prevent irrational behavior,and provides reference for the stable development of the securities market.
Individual and institutional investors are important components of the securities market,and their irrationality directly affects the health and stability of the market.Based on the questionnaire data of contextual factors,this paper constructs an analysis framework which regards the investor category as the independent variable,age and sex as the control variables,and 16 common irrational behaviors as the dependent variables,and empirically tests the irrational behavior differences between,and individual investors.The results show that there are widespread irrational behaviors among institutional and individual investors in China;individual investors are more irrational than institutional investors;and institutional investors and individual investors have significant differences in preference reversal,confirmation bias,sunk cost effect,ambiguity aversion,disposition effect and loss aversion.The research provides suggestions for investors to prevent irrational behavior,and provides reference for the stable development of the securities market.
引文
[1]左大勇,陆蓉.理性程度与投资行为——基于机构和个人基金投资者行为差异研究[J].财贸经济,2013(10):59-69.
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[3]姚禄仕,吴宁宁.基于LSV模型的机构与个人羊群行为研究[J].中国管理科学,2018(7):55-62.
[4]郝旭光,朱冰,张士玉.中国证券市场监管政策效果研究——基于问卷调查的分析[J].管理世界,2012(7):44-53.
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[6]TVERSKY A,KAHNEMAN D.The framing of decisions and the psychology of choice[J].Science,1981,211(4481):453-458.
[7]WASON P C.On the failure to eliminate hypotheses in a conceptual task[J].Quarterly Journal of Experimental Psychology,1960,12(3):129-140.
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[9]SHEFRIN H,STATMAN M.The disposition to sell winners too early and ride losers too long:theory and evidence[J].The Journal of Finance,1985,40(3):777-190.
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[11]CAMERER C,WEBER M.Recent developments in modeling puncertainty and ambiguity[J].Journal of Risk and Uncertainty,1992,5(4):325-370.
[12]LICHTENSTEIN S,SLOVIC P.Reversals of preference between bids and choices in gambling decisions[J].Journal of Experimental Psychology,1971,89(1):46-55.
[13]KAHNEMAN D,TVERSKY A.prospect theory:an analysis of decision under risk[J].Econometrica,1979,47(2):263-292.
[14]SHIMANOFF S B.Commonly named emotions in everyday conversations[J].Perceptual and Motor Skills,1984,58(2):514.
[15]SEN S,JOHNSON E J.Mere-possession effects without possession in consumer choice[J].Journal of Consumer Research,1997,24(1):105-117.
[16]ODEAN T.Are investors reluctant to realize their losses?[J].The Journal of Finance,1998,53(5):1775-1798.
[17]SAMUELSON W,ZECKHAUSER R.Status quo bias in decision making[J].Journal of Risk and Uncertainty,1988,1(1):7-59.
[18]THALER R.Toward a positive theory of consumer choice[J].Journal of Economic Behavior & Organization,1980,1(1):39-60.
[19]伍燕然,黄文婷,苏凇,等.基金投资者处置效应的个体差异[J].国际金融研究,2016(3):84-96.
[20]周铭山,周开国,张金华,等.我国基金投资者存在处置效应吗?——基于国内某大型开放式基金交易的研究[J].投资研究,2011(10):87-97.
[21]HERGOVICH A,SCHOTT R,BURGER C.Biased evaluation of abstracts depending on topic and conclusion:further evidence of a confirmation bias within scientific psychology[J].Current Psychology,2010,29(3):188-209.
[22]LUNDEBERG M A,FOX P W,PUNCCOHAR J.Highly confident but wrong:gender differences and similarities in confidence judgments[J].Journal of Educational Psychology,1994,86(1):114-121.
[23]TRAUT-MATTAUSCH E,JONASE,FREY D,et al.Are there “his” and “her” types of decisions?Exploring gender differences in the confirmation bias[J].Sex Roles,2011,65(3-4):223-233.
[24]KYLE A S.Continuous auctions and insider trading[J].Econometrica,1985,53(6):1315-1335.
[25]李丹.噪音交易者投资决策影响因素的研究[J].现代营销(下旬刊),2016(9):106.
[26]陈日清.机构投资者与个人投资者过度自信行为比较研究[J].投资研究,2011(12):25-37.
[27]CHUANG W,SUSMEL R.Who is the more overconfident trader?Individual vs.institutional investors[J].Journal of Banking & Finance,2011,35(7):1626-1644.
[28]COVAL J D,SHUMWAY T.Do behavioral biases affect prices?[J].The Journal of Finance.2005,60(1):1-34.
[29]李志文,余佩琨,杨靖.机构投资者与个人投资者羊群行为的差异[J].金融研究,2010(11):77-89.
[30]MAGEE J C,SMITH P K.The social distance theory of power[J].Personality and Social Psychology Review,2013,17(2):158-186.
[31]KESWANI A,STOLIN D.Which money is smart?Mutual fund buys and sells of individual and institutional investors[J].The Journal of Finance,2008,63(1):85-118.
[32]DANIEL K,GRINBLATT M,TITMAN S,et al.Measuring mutual fund performance with characteristic-based benchmarks[J].The Journal of Finance,1997,52(3):1035-1058.
[33]李心丹,王冀宁,傅浩.中国个体证券投资者交易行为的实证研究[J].经济研究,2002(11):54-63,94.
[34]MOWEN J C,GENTRY J W.Investigation of the preference-reversal phenomenon in a new product introduction task[J].Journal of Applied Psychology,1980,65(6):715-722.
[35]兰俊美,郝旭光,李顺.错误恐惧引起的证券监管者非理性偏差研究[J].国际商务(对外经济贸易大学学报),2017(4):113-123.
[36]BERG J E,DICKHAUT J W,RIETZ T A.Preference reversals and induced risk pevidence of noisy maximization[J].Journal of Risk and Uncertainty,2003,27(2):139-170.
[37]GONZALEZ-VALLEJO C,WALLSTEN T S.Effects of probability mode on preference reversal[J].Journal of Experimental Psychology:Learning,Memory,and Cognition,1992,18(4):855-864.
[38]GRETHER D M,PLOTT C R.Economic theory of choice and the preference reversal phenomenon[J].The American Economic Review,1979,69(4):623-638.
[2]孔东民,王江元.机构投资者信息竞争与股价崩盘风险[J].南开管理评论,2016(5):127-138.
[3]姚禄仕,吴宁宁.基于LSV模型的机构与个人羊群行为研究[J].中国管理科学,2018(7):55-62.
[4]郝旭光,朱冰,张士玉.中国证券市场监管政策效果研究——基于问卷调查的分析[J].管理世界,2012(7):44-53.
[5]TVERSKY A,KAHNEMAN D.Availability:a heuristic for judging frequency and probability[J].Cognitive Psychology,1973,5(2):207-232.
[6]TVERSKY A,KAHNEMAN D.The framing of decisions and the psychology of choice[J].Science,1981,211(4481):453-458.
[7]WASON P C.On the failure to eliminate hypotheses in a conceptual task[J].Quarterly Journal of Experimental Psychology,1960,12(3):129-140.
[8]HAMMONDJ S,KEENEY R L,RAIFFA H.The hidden traps in decision making[J].Harvard Business Review,1998,13(1):39-47.
[9]SHEFRIN H,STATMAN M.The disposition to sell winners too early and ride losers too long:theory and evidence[J].The Journal of Finance,1985,40(3):777-190.
[10]ARKES H R,BLUMER C.The psychology of sunk cost[J].Organizational Behavior and Human Decision Processes,1985,35(1):124-140.
[11]CAMERER C,WEBER M.Recent developments in modeling puncertainty and ambiguity[J].Journal of Risk and Uncertainty,1992,5(4):325-370.
[12]LICHTENSTEIN S,SLOVIC P.Reversals of preference between bids and choices in gambling decisions[J].Journal of Experimental Psychology,1971,89(1):46-55.
[13]KAHNEMAN D,TVERSKY A.prospect theory:an analysis of decision under risk[J].Econometrica,1979,47(2):263-292.
[14]SHIMANOFF S B.Commonly named emotions in everyday conversations[J].Perceptual and Motor Skills,1984,58(2):514.
[15]SEN S,JOHNSON E J.Mere-possession effects without possession in consumer choice[J].Journal of Consumer Research,1997,24(1):105-117.
[16]ODEAN T.Are investors reluctant to realize their losses?[J].The Journal of Finance,1998,53(5):1775-1798.
[17]SAMUELSON W,ZECKHAUSER R.Status quo bias in decision making[J].Journal of Risk and Uncertainty,1988,1(1):7-59.
[18]THALER R.Toward a positive theory of consumer choice[J].Journal of Economic Behavior & Organization,1980,1(1):39-60.
[19]伍燕然,黄文婷,苏凇,等.基金投资者处置效应的个体差异[J].国际金融研究,2016(3):84-96.
[20]周铭山,周开国,张金华,等.我国基金投资者存在处置效应吗?——基于国内某大型开放式基金交易的研究[J].投资研究,2011(10):87-97.
[21]HERGOVICH A,SCHOTT R,BURGER C.Biased evaluation of abstracts depending on topic and conclusion:further evidence of a confirmation bias within scientific psychology[J].Current Psychology,2010,29(3):188-209.
[22]LUNDEBERG M A,FOX P W,PUNCCOHAR J.Highly confident but wrong:gender differences and similarities in confidence judgments[J].Journal of Educational Psychology,1994,86(1):114-121.
[23]TRAUT-MATTAUSCH E,JONASE,FREY D,et al.Are there “his” and “her” types of decisions?Exploring gender differences in the confirmation bias[J].Sex Roles,2011,65(3-4):223-233.
[24]KYLE A S.Continuous auctions and insider trading[J].Econometrica,1985,53(6):1315-1335.
[25]李丹.噪音交易者投资决策影响因素的研究[J].现代营销(下旬刊),2016(9):106.
[26]陈日清.机构投资者与个人投资者过度自信行为比较研究[J].投资研究,2011(12):25-37.
[27]CHUANG W,SUSMEL R.Who is the more overconfident trader?Individual vs.institutional investors[J].Journal of Banking & Finance,2011,35(7):1626-1644.
[28]COVAL J D,SHUMWAY T.Do behavioral biases affect prices?[J].The Journal of Finance.2005,60(1):1-34.
[29]李志文,余佩琨,杨靖.机构投资者与个人投资者羊群行为的差异[J].金融研究,2010(11):77-89.
[30]MAGEE J C,SMITH P K.The social distance theory of power[J].Personality and Social Psychology Review,2013,17(2):158-186.
[31]KESWANI A,STOLIN D.Which money is smart?Mutual fund buys and sells of individual and institutional investors[J].The Journal of Finance,2008,63(1):85-118.
[32]DANIEL K,GRINBLATT M,TITMAN S,et al.Measuring mutual fund performance with characteristic-based benchmarks[J].The Journal of Finance,1997,52(3):1035-1058.
[33]李心丹,王冀宁,傅浩.中国个体证券投资者交易行为的实证研究[J].经济研究,2002(11):54-63,94.
[34]MOWEN J C,GENTRY J W.Investigation of the preference-reversal phenomenon in a new product introduction task[J].Journal of Applied Psychology,1980,65(6):715-722.
[35]兰俊美,郝旭光,李顺.错误恐惧引起的证券监管者非理性偏差研究[J].国际商务(对外经济贸易大学学报),2017(4):113-123.
[36]BERG J E,DICKHAUT J W,RIETZ T A.Preference reversals and induced risk pevidence of noisy maximization[J].Journal of Risk and Uncertainty,2003,27(2):139-170.
[37]GONZALEZ-VALLEJO C,WALLSTEN T S.Effects of probability mode on preference reversal[J].Journal of Experimental Psychology:Learning,Memory,and Cognition,1992,18(4):855-864.
[38]GRETHER D M,PLOTT C R.Economic theory of choice and the preference reversal phenomenon[J].The American Economic Review,1979,69(4):623-638.
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