摘要
建立了过度自信心理的展望价值模型,并以此模型为基础,研究了行为偏差现象“处置效应”的形成机理和原因。研究结论表明:投资者的过度自信心理和展望价值最大化选择准则可以有效解释行为偏差现象“处置效应”的产生机理。并利用这一研究结论有效地解释了中国股票市场上“处置效应”比国外市场更加严重的事实。
This paper studies the ＂disposition effect＂ by using generalized prospect model, which includes investor＇s psychology overconfidence. A theory of the ＂disposition effect＂ based on overconfidence, biased self-attribution and the ＂maximum prospect value＂ rules of choice is proposed. Using this theory, the fact that ＂disposition effect＂ in Chinese stocks market is more severe than foreign stocks markets is explained.
出处
《青岛大学学报（自然科学版）》
CAS
2007年第1期82-85,96,共5页
Journal of Qingdao University(Natural Science Edition)
基金
国家自然科学基金项目:NSFC(70571042)
关键词
行为金融
展望理论
过度自信
自我归因偏差
处置效应
behavioral finance
prospect theory
overconfidence
biased self-attribution
disposition effect
