处置效应,人口统计和风险承担

IF 1.3 Q3 BUSINESS
M. Oreng, Claudia Emiko Yoshinaga, William Eid Júnior
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引用次数: 5

摘要

本研究旨在利用巴西个人投资者的数据调查人口特征、市场条件和风险承担与处置效应的关系。本研究使用了巴西最大的资产管理公司之一提供的2007年6月至2017年2月的月度数据集。本文通过计算已实现收益的比例和已实现损失的比例来判断投资者是否产生处置效应。然后,本文采用逻辑回归来验证投资者配置效应与人口统计学和投资组合特征之间的关联。本文分析了认知偏差的普遍性,这取决于市场条件(牛市或熊市),并包括资产类别的回归作为鲁棒性检查。本研究发现,风险厌恶型投资者更容易受到处置效应的影响,男性受试者更不容易受到这种认知偏差的影响,年龄与处置效应无关。本文观察到,在牛市中产生处置效应的倾向减少,而在熊市中增加。此外,本文还发现,经验丰富的投资者更倾向于卖出盈利资产,并持有亏损资产。首先,账面收益和损失是基于当月的最高和最低价格,而不是交易发生时的价格。其次,本报只能获得月末的信息,而不是实际的每日交易记录。第三,由于数据集涉及交易投资基金的个人投资者,本文无法确定公司规模是否与处置效应相关。第四,年龄不一定是投资者经验的代表,因此人们应该从代际差异的角度来解释年龄不重要。本文表明,配置效应甚至在具有委托资产类别的较富裕和受教育程度较高的投资者中也很普遍。本文还提出了考虑流动性受限、高度波动和发展中市场的人口特征与认知偏差之间关系的证据。本文表明,性别是理解认知偏差的一个重要特征,投资者的成熟度可能不一定是流动性受限市场中处置效应的衰减因素。这是第一个分析人口特征和风险承担作用的研究,利用巴西投资者个人层面的真实信息来解释处置效应。这也是首个分析巴西经济牛市和熊市期间认知偏差强度的研究。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Disposition effect, demographics and risk taking
This study aims to investigate the association of demographic characteristics, market conditions and risk taking with the disposition effect using data on Brazilian individual investors.,This study uses a unique data set with monthly data from June 2007 to February 2017 provided by one of the largest asset management firms in Brazil. This paper computes the proportion of gains realized and the proportion of losses realized to see if investors incur the disposition effect. This paper then performs logistic regressions to verify the association between investors’ disposition effects and demographic and portfolio characteristics. This paper analyses the prevalence of cognitive biases depending on market conditions (bull or bear markets) and include regressions by asset class as robustness checks.,This paper finds evidence that risk averse investors are more prone to the disposition effect, male subjects are less prone to this cognitive bias and age is not associated with the disposition effect. This paper observes that the tendency to incur the disposition effect decreases during bull markets but increases during bear markets. Also, this paper finds that sophisticated investors are more prone to selling winning assets and holding on to losses.,First, paper gains and losses are based on the highest and lowest prices of the month and not on the price at the moment the sale occurred. Second, this paper had access only to end-of-month information, not to actual daily trading records. Third, because the data set relates to individual investors who trade investment funds, this paper cannot determine whether firm size is associated with the disposition effect. Fourth, age may not necessarily be a proxy for investor experience, so one should interpret the lack of significance for age in terms of generational differences.,This paper demonstrates that the disposition effect is prevalent even among wealthier and more educated investors with delegated asset classes. This paper also presents evidence on the association between demographic characteristics and cognitive biases considering a liquidity-constrained, highly volatile and developing market.,This paper demonstrates that gender is an important characteristic to understand cognitive biases and that investor sophistication may not necessarily be an attenuation factor for the disposition effect in a liquidity-constrained market.,This is the first study to analyse the role of demographic characteristics and risk taking to explain the disposition effect using real information at the individual level about Brazilian investors. It is also the first to analyse the intensity of cognitive biases during bull and bear markets in the Brazilian economy.
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来源期刊
CiteScore
3.30
自引率
5.00%
发文量
22
审稿时长
30 weeks
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