持续盈利和投资组合调整

ERN: Econometric Studies of Capital Markets (Topic) Pub Date : 2012-05-22 DOI:10.2139/ssrn.2064690

Arnat Leemakdej

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引用次数: 1

摘要

本研究考察了投资者在收益和损失后的投资组合调整行为。本研究采用独特的交易数据集，支持投资者在连续两次收益后会更加谨慎的前景理论。他们通过减少对大盘股的权重来降低投资组合的系统性风险。投资者根据股票的购买价格来确定他们的收益或损失。

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Persistent Profit and Portfolio Adjustment

This study investigates investors’ behaviors on their portfolio adjustment after gain and loss. Using a unique data set of transaction data, the study supports the prospect theory that the investors will be more cautious after two consecutive gains. They reduce their portfolio’s systematic risk by giving less weight on large capitalization stocks. Investors fix their gain or loss relative to the purchasing price of the stocks.

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ERN: Econometric Studies of Capital Markets (Topic)

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