作　　者： (陈浪南）; ;

机构地区： 中山大学岭南学院

出　　处： 《管理工程学报》 2020年第1期63-78,共16页

摘　　要： 本文使用Fama-MacBeth回归和中国股市1997年1月至2017年3月的数据,实证检验我国股市是否存在非对称V字形处置效应。实证结果表明:中国股市投资者表现出显著的新型处置效应——非对称V字形处置效应,即投资者的出售意愿随着投资者在该股的“未实现”盈利或“未实现”亏损的绝对值增大而增强,当“未实现”盈利和“未实现”亏损的绝对值增加相同幅度时,由“未实现”盈利增加所引起的出售意愿的增强在幅度上会更大;而传统的二元单调处置效应并不存在于中国股市。此外,我们还发现二元单调处置效应的代理变量——资本利得量对股票未来收益率的影响不显著,而新型处置效应的代理变量——非对称V字形出售意愿可以显著影响股票未来收益率,同时我们也发现处置效应并不会引起动量效应。另外,本文将股票分组研究以证实非理性投资者的投机交易行为和锚定效应确实是造成新型处置效应存在的决定性因素。最后,本文研究发现投资者情绪对新型处置效应具有显著影响。 This paper investigates the asymmetric V-shaped disposition effect on the Chinese stock market by utilizing the data from January 1997 to March 2017.For each stock,we estimate the Gain Overhang/Loss Overhang as a proxy for the stock’s aggregate unrealized gains/losses at each month by using the daily closing price and turnover ratio.We employ the Fama-MacBeth regressions to examine the effect of Gain Overhang/Loss Overhang on the future returns.We find that the stocks with larger unrealized gains and those with larger unrealized losses(in absolute value)have higher returns in the following month.We also find that the stocks with larger unrealized gains have greater impacts on the future return than that with larger unrealized losses due to the investors’trading behavior.The investors are more willing to sell a stock with the increase of their gains or losses.The stocks with greater unrealized gains or unrealized losses(in absolute value)are under higher pressure to be sold.This will temporarily push down the current prices and lead to higher subsequent returns when future prices return to the fundamental values.The investors are willing to sell more profitable stocks than defective stocks when the magnitude of their gains and losses increase at the same rate.The profitable stocks will have higher subsequent returns than the defective stocks since the stocks with unrealized gains being under higher pressure to be sold than the stocks with unrealized losses when the unrealized gains and the unrealized losses are at the same extent.These empirical results suggest that the asymmetric V-shaped disposition effect exists among Chinese investors.Further,we compare the effects of V-shaped Net Selling Propensity that is based on asymmetric V-shaped disposition effect to the effects of Capital Gains Overhang that is based on binary and monotonic disposition effect by employing the Fama-MacBeth regressions.The results show that the V-shaped Net Selling Propensity has stronger returns predictability than the Capital Gains

关 键 词： 非对称 字形处置效应 动量效应 投机交易 锚定效应 投资者情绪

领　　域： [经济管理—金融学]