摘要
本文用"人人贷"网站五千多名投资者的交易数据,提供了互联网金融市场上男性过度自信的新证据。以往文献多分析股票市场中的性别效应,但由于股票交易的复杂性,研究结论易受风险偏好、信息不对称、预算约束等假说的挑战。我们利用P2P线上交易数据,可以降低这些干扰因子的影响。在"人人贷"投资者中,男性换手率比女性高167基点,年化投资收益率低24基点。这些区别在高换手率、低收益率的子样本中更为显著。使用倾向性得分匹配控制风险偏好、个体特征差异,使用Heckman两阶段模型控制样本自选择问题,并选取无约束子样本排除预算约束等竞争性假设后,结果依然显著。进一步研究发现,这些性别差异的主要原因是男性过度交易从而付出更多交易费用。当不考虑交易成本时,男女投资者的收益率没有显著差别。
We document new facts in P＇2P lending market using transaction level data of five thousand accounts from a leading P2P platform. We provide new evidence on male being overconfident in online financial market. Previous literature studying gender effect in stock market, suffers from confounding factors like risk preference, information asymmetry or liquidity constraint. Using P2P investors as a cleaner setting, we find that male investors＇ turnover is 1.67% higher than female investors＇ , and annualized returns 0.24% lower than female investors, other things being equal. The results cannot be explained by preference difference, sample selection or liquidity constraint. Instead, the lower returns of male investors are primarily driven by higher trading cost due to their excessive trading.
出处
《金融研究》
CSSCI
北大核心
2017年第11期96-111,共16页
Journal of Financial Research
基金
国家自然科学基金(项目号:71673007
71403010)的资助
