Review of Finance, Volume 22, Issue 3, May 2018

行为偏差影响下单积极性吗？

作者：Jiangze Bian (University of International Business and Economics, China),

Kalok Chan (CUHK Business School, China),

Donghui Shi (Shanghai Stock Exchange, China),

Hao Zhou (Tsinghua University, China)

摘要：我们扩展了以往关于行为偏差对投资者持有/卖出决策的影响的研究，并研究行为偏差是否影响下单提交策略。我们使用上海证券交易所提供的一个独特的数据库，该数据库包含下单提交和执行，以及所有投资者的交易记录。我们发现，投资者在向那些遭受损失的股票提交卖出订单时，表现得不那么积极，而且在向那些有收益的股票提交卖出订单时表现得更积极。卖出订单的积极性与损失的大小是负相关的，但与收益的大小有二次关系。结果与性情和私房钱效应相一致。

Do Behavioral Biases Affect Order Aggressiveness?

Jiangze Bian (University of International Business and Economics, China), Kalok Chan (CUHK Business School, China), Donghui Shi (Shanghai Stock Exchange, China), Hao Zhou (Tsinghua University, China)

ABSTRACT

We extend previous studies on the effect of behavioral biases on investor hold/sell decisions, and examine whether behavioral biases affect the order submission strategies. We use a unique database provided by the Shanghai Stock Exchange, which contains order submissions and executions as well as trading records of all investors. We find investors are less aggressive in submitting sell orders for stocks that experienced losses, and more aggressive in submitting sell orders for stocks that experienced gains. The sell order aggressiveness is negatively related to the size of losses, but has a quadratic relationship with the size of gains. Results are consistent with the combination of the disposition and the house money effects.

原文链接：https://academic.oup.com/rof/article-abstract/22/3/1121/4065206?redirectedFrom=fulltext

翻译：阙江静