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学术讲座:V-shape Disposition Effect and Rank Effect in Chinese Stock Market

金融学院SBF论坛2019年第27讲

讲座题目:V-shape Disposition Effect and Rank Effect in Chinese Stock Market

时间:2019年10月17日(周四),12:20-13:30

地点:博学楼925

主讲人:韩沌

主讲人简介:韩沌是纽卡斯尔大学商学院3年级在读PhD学生,主修金融学。他拥有香港城市大学商用定量分析硕士学位和北京航空航天大学数学与应用数学本科学位。他的研究兴趣主要在:行为金融,Fintech,以及新兴市场等方面。

讲座内容简介:This paper analyzes whether V-shape disposition effect and rank effect exist in Chinese stock market. We use a sample of 100,000 individual investors with more than 56 million daily holding records from January 2007 to May 2009, which enable us to compare individuals’ trading behavior during the booming, crashing, and recovering period of the financial crisis. After controlling for firm-specific information, holding period, the level of returns itself, and individual heterogeneity, we find that V-shape disposition is closely related to the holding period. When holding period is short, V-shape disposition is significant on the gain side, while it is not for long-term positions. Rank effect is also different in Chines market. Compared with investors in the US market, Chinese investors are more likely to sell a position with extreme good (the best) performance, and followed by the 2nd best position, but reluctant to sell the salience of extreme bad portfolio positions. This result is robust under different specifications, for example, different modelling method, extreme portfolio situation, measurement of rank and limit-down limitation, etc., and consistent in different time periods.