學(xué)術(shù)講座：V-shape Disposition Effect and Rank Effect in Chinese Stock Market

金融學(xué)院SBF論壇2019年第27講

講座題目：V-shape Disposition Effect and Rank Effect in Chinese Stock Market

時間：2019年10月17日（周四），12:20-13:30

地點：博學(xué)樓925

主講人：韓沌

主講人簡介：韓沌是紐卡斯?fàn)柎髮W(xué)商學(xué)院3年級在讀PhD學(xué)生，主修金融學(xué)。他擁有香港城市大學(xué)商用定量分析碩士學(xué)位和北京航空航天大學(xué)數(shù)學(xué)與應(yīng)用數(shù)學(xué)本科學(xué)位。他的研究興趣主要在：行為金融，F(xiàn)intech，以及新興市場等方面。

講座內(nèi)容簡介：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.