复杂信息下知情交易者投资反应实证研究
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摘要
投资者反应的研究范畴包括反应不足与反应过度。目前解释反应不足和反应过度具有影响力的模型主要包括BSV模型、DHS模型以及HS模型。三种模型在理论基础与研究视角上存在明显的差异。
本文主要是基于DHS模型进行研究。DHS模型假设投资者的反应不足或反应过度建立在两个著名的心理偏差上：投资者对私密信息精确性的过度自信以及存在自我归因偏差。模型具有两个重要的特征：第一,当信号是私下的时候,证券价格具有冲动功能。第二,反映了信息特征(公开或私下)与市场反应之间存在的关系。
本文之所以在金融学的相关理论指导下,利用DHS.模型为理论基础,构建了“IJAR”研究框架对中国投资者的投资反应展开实证研究,是因为在中国证券市场上,依据“内幕消息”进行投资的股民众多,非理性行为或现象常常令人震惊。更重要的是中国投资者与西方投资者相比面临差异化程度较高的证券投资环境、传统人文环境以及心理特质等。而一旦涉及这些变量,传统金融学便显得束手无策。本文利用行为金融学常用的实验研究方法进行实证研究,试图揭开反应不足以及反应过度的现象中投资者的内在心理因素,并达到以下两个目的：(1)为散户投资者提供投资决策建议,降低投资者对“市场传闻”信息的非理性行为；(2)为监管当局有效监管提供决策依据,塑造一个健康的证券市场。
本文虽然以DHS模型为理论基础,但在DHS模型基础上融入了前景理论、累积性预期理论等理论,提出的命题假设中包含“损失厌恶”这一基本假设。在研究时,所有的实验样本均为知情交易者。在信息设置的复杂程度方面,要高于DHS模型,具体表现为：第一,投资者不知道私密信息与公共信息的概率分布；第二,投资者是在接触到两类信息的末期才开始判断；第三,投资者接触到的私密信息与公开信息是相互矛盾的。
本文在DHS模型加入了两个调节变量：私密信息易感性以及风险态度(DHS模型假定投资者风险独立)。同时,还设定了一个反馈情景,以研究投资者对投资经验的学习行为。本文共设定三个情景：(1)按照“私密信息s1——公开信息s2”的信息顺序；(2)按照“公开信息s1——私密信息s2”的信息顺序；(3)投资者在t2时刻同时接触到公开信息以及私密信息。然后依据上述三个情景进行理论推导并提出假说命题。
对命题进行验证时依据实验目分别采用被试间实验或被试内实验。实验结果基本验证了本文提出的假设,部分假设未获得证实(假设H1-3a①)或只是在特定环境中获得了证实(假设H4-1②、H5-2③)。研究结果显示,投资者的行为表现为一个多维的综合体：既有理性的成分,也有情感的交织,且情感常常会破坏投资者对理性思维的把控能力。在复杂的信息条件下,人们的投资往往倾向于选择性感觉,对私密信息易感性强的投资者,更容易忽略市场信息；对私密信息易感性弱的投资者,则更容易对公开信息则表现出反应过度。面对复杂信息,人们有忽略信息的倾向,不仅是有意为之,也可能是潜意识的——特别是不认可的信息来源或者是与信任的信息相反的信息。本文的研究还揭示出,投资者的情绪以及交易特质对投资反应具有显著的影响,包括：贪婪、损失厌恶、归因偏差、过度自信等等。
具体而言,本文主要得出以下几个结论：
(1)投资行为与行情判断表现出非一致性。基于损失厌恶,投资者的实际投资行为与自己对股票价格的行情判断并不是完全吻合,甚至差别很大,从而导致投资反应过度或不足。当投资者对行情判断的态度强度越强,其对损失的恐惧就会愈小,行情判断与行为表现出一致性的概率就会增加。另外人格特质、投资者的情绪也是影响二者一致性的重要因素,比如投资者的自信心越强,其表现出一致性的概率就会更高；易感性强的投资者如果表现出损失厌恶,在公开信息与私密信息不一致的时候,行为与判断表现出的差异较为明显。
(2)投资者依据私密信息投资具有普遍性。在本文研究中,私密信息易感性强的样本比重较大,许多投资者从小样本中获取了过多的信息。对私密信息易感性高的投资者倾向于忽视公开的历史信息,对新的私密信息表现出反应过度。这类投资者常常忽略市场风险,存在严重的投机行为,从而扰乱正常的市场秩序。
(3)认知偏差严重影响投资者的投资反应。研究显示：①投资者的投资情绪会影响其理性决策程度。过度自信的投资者,在公开信息利好的时候表现得更为贪婪；对私密信息易感性强的投资者在私密信息利好的时候则表现得更为贪婪,导致对利好信息反应过度,形成股票市场的超涨。而损失厌恶的存在则可能在公开信息与私密信息发生矛盾的时候出现反应不足,在公开信息与私密信息利空消息得到相互印证的时候发生反应过度,不断杀跌。投资者在进行证券买卖时,如果情绪左右了其投资行为,则可能过于忽视公开信息(私密信息易感性强的投资者)或粗暴对待私密信息(基于公开信息进行投资的投资者)。这类投资者在信息相互矛盾的情景下,容易采用启发式的投资决策方式。②过度自信的投资者在利好的情况下更容易放松对风险的警惕,表现出反应过度。且过度自信的人在投资失败的时候更倾向于外部归因,投资成功的时候则更倾向于内部归因。由于归因偏差的存在,此类投资者并不会从他们所犯的错误中学习。本文的研究还揭示,投资者的认知容易受到投资环境的影响,在公开信息利好、或者是公开信息与私密信息相互印证的情况下,投资者自信程度会增强,风险防范的意识却会降低。
(4)反馈对投资反应的修正作用受投资者情绪、特质影响。反馈结果分为两类,一类是正反馈,正反馈会使投资者对信息来源及信息处理模式产生锚定效应,导致过度自信及自我归因偏差,从而高估信息源的可靠性。另一类则是负反馈。此时,不同类型的信息(私密与公开)对不同特质(自信程度、易感性强弱、归因偏差)的投资者的反馈效果存在显著差异。另外,因偏差也是影响投资者对反馈结果学习的重要影响因素,将失败结果归因于外部条件而将成功归因于自身的投资者在私密信息负反馈的情况下对行为的修正水平要显著低于将投资结果成功归因于运气或外界因素的干扰而将失败归因于自身的投资者,这类投资者为了摆脱投资失败后的失调感,从而不愿意针对反馈信息进行学习。
本文的研究创新主要表现在以下三个方面：(1)本文构建了一个“IJAR”研究框架,即“信息(information)——判断(judgment)——行为(action)——结果(result)"框架对DHS模型进行进一步研究；(2)本文借助实证研究的优点,将前景理论融入DHS模型,放宽了模型的假定条件,修正了模型的部分结论,如DHS模型认为知情交易者(获得私密信息)是过度自信的,反应过度一般发生在信息的早期阶段；当信息投资者收到有关股票价值的噪声私有信息,会高估其准确性；投资者在接收到市场的真实信息后会有效修正自己的行为。但本文的实证研究结果显示对私密信息易感性差的投资者更倾向于过度自信,而这类投资者恰恰忽视私密信息的信息价值；对私密信息易感强的投资者,反应过度可以发生在任何阶段,包括股票的真实价值被揭露的阶段；实证研究也揭示了并不是所有的投资者均具有“后见之明”；或者说投资者并没有表现出传统金融学所言的最优学习过程。(3)DHS模型验证了投资者在面临一种时序信息的情景下的反应过度与反应不足问题,本文还验证了私密信息、公开信息同时到达情景下投资者的反应问题。
本文的研究不足主要表现在以下方面：由于经费原因,样本选择受地域性限制,可能存在实验结论效度不足的问题；本文利用问卷对投资者反应过度与不足进行描述,这种描述可能存在理解偏差。最后,本文的实验由于不是在实验室进行,在实验过程中对混淆变量控制可能会表现得不够严格。
The study on the behavior of investor reaction:over-reaction and under-reaction. The most influential model includes BSV model, DHS model and HS model explaining the under-reaction and over-reaction model. There are significant differences in the theoretical models and perspectives of the three models.
This paper is based on the DHS model. DHS model is study on investors from different perspective of investors react to private information and public information. The model assumes that the investors' reaction is based on two famous psychological deviation: investors overconfidence of private information accuracy and self attribution bias. Model has two important features: first, when the signal is private, stock price have impulse function. Second, it reflects the relation of the information characteristics (public or private) and the market reaction.
This paper is an empirical study on Chinese investors' investment reaction with the framework of DHS model. In the Chinese stock market, many investors to invest based on "inside information". Irrational behavior or phenomenon often shocked us. Compared to Western investors, Chinese investors face a higher differentiation securities investment environment, human environment traditional, psychological characteristics. Once involved in these variables, the standard finance helpless. This paper trying to uncover the internal psychological factors of investors in the under-reaction and over-reaction process to achieve the following two objectives:(1) to provide effective regulation of the decision-making basis for regulatory authorities, to shape a healthy stock market;(2) to provide investment decision-making advice for retail investors, reduce the irrational behavior of investors.
This paper put forward the proposition assumptions included in the basic assumptions of the "loss aversion". In the study, all experimental samples are informed traders. The complexity of the information set much higher than the DHS model, as follows:First, investors do not know the probability distribution of private information and public information; Second, the investor is in contact with the end of the two types of information before judgment; Third, investors access to private information and public information is conflicting.
The study added two very important variables based on DHS model:private information susceptibility and risk attitude (DHS model assumes that the independence of investor risk).In order to study the behavior of investors on the investment experience of learning, we set a feedback scenario.
According to the purpose of the experiment, we experiment to verify the proposition.The experimental results validate the assumptions presented in this paper, some of the assumptions are not confirmed or confirmed all. The study results show that investor behavior as a multidimensional complex:both rational component intertwined emotions, and emotions often undermine investors' ability to control rational thinking. Under the condition of complex information, people's investments tend to selectively feeling. Investors with strong predisposition to private information, are more likely to ignore market information; investors with susceptibility to the public information is more likely to overreact the public information. Faced with complex information, people tend to ignore the information, not only is intentional, but also it is the subconscious-especially not approved sources of information or is contrary to trust information. This paper studies reveal the person's mood as well as investment characteristics have a significant impact, including:greed, loss aversion (short-sighted), attribution bias, overconfidence investment reaction and so on.
In this paper, there are four main conclusions as following:
(1) The investment behavior and the market showed inconsistency judgment. Based on loss aversion, the investor's actual investment behavior and their judgment are not completely consistent with the performance of the stock price resulting in excessive or insufficient investment in reaction even with a big difference. The stronger attitude to market judgment, the smaller fear of loss.
(2) It seems universal for investor to investment based on private information. In this paper, the sample proportion of private information with higher Susceptibility is large; It shows that investment in China's stock market on the basis of private information is very common; many investors got too much information from small samples. Investors with high susceptibility of private information often behave over-react or ignore the history of public information. They often investment with over-reaction behavior. Such investors often behaved with high market risk, which disrupted the market order.
(3) Cognitive biases seriously affect the reaction of the investor's investment. This study show that: investment sentiment of investor will affect the degree of rational decision-making.In the position of positive, overconfidence investors easier ignore risks. And overconfidence investor attribute the investment failure to external attribution, but successful investor are more inclined to internal attribution.
(4) Feedback results are divided into two kinds:one kind is confirmed investors' judgments. Another kind is the public information confirmed the private information belong to the error information.
At the same time, the conclusion has been revised the DHS model in this paper, such as:(1)In the framework of DHS model, informed traders (access to private information) are overconfidence,。 According to the empirical study of this paper, investors with smaller private information susceptibility are more inclined to overconfidence, and such investors just ignore the information value of private information.(2) The DHS model revealed that overreact occur in the early stages, but for private information susceptible investors overreact can occur at any stage;(3)DHS model think that the investor modified their behavior after receives the market real information.
本文主要是基于DHS模型进行研究。DHS模型假设投资者的反应不足或反应过度建立在两个著名的心理偏差上：投资者对私密信息精确性的过度自信以及存在自我归因偏差。模型具有两个重要的特征：第一,当信号是私下的时候,证券价格具有冲动功能。第二,反映了信息特征(公开或私下)与市场反应之间存在的关系。
本文之所以在金融学的相关理论指导下,利用DHS.模型为理论基础,构建了“IJAR”研究框架对中国投资者的投资反应展开实证研究,是因为在中国证券市场上,依据“内幕消息”进行投资的股民众多,非理性行为或现象常常令人震惊。更重要的是中国投资者与西方投资者相比面临差异化程度较高的证券投资环境、传统人文环境以及心理特质等。而一旦涉及这些变量,传统金融学便显得束手无策。本文利用行为金融学常用的实验研究方法进行实证研究,试图揭开反应不足以及反应过度的现象中投资者的内在心理因素,并达到以下两个目的：(1)为散户投资者提供投资决策建议,降低投资者对“市场传闻”信息的非理性行为；(2)为监管当局有效监管提供决策依据,塑造一个健康的证券市场。
本文虽然以DHS模型为理论基础,但在DHS模型基础上融入了前景理论、累积性预期理论等理论,提出的命题假设中包含“损失厌恶”这一基本假设。在研究时,所有的实验样本均为知情交易者。在信息设置的复杂程度方面,要高于DHS模型,具体表现为：第一,投资者不知道私密信息与公共信息的概率分布；第二,投资者是在接触到两类信息的末期才开始判断；第三,投资者接触到的私密信息与公开信息是相互矛盾的。
本文在DHS模型加入了两个调节变量：私密信息易感性以及风险态度(DHS模型假定投资者风险独立)。同时,还设定了一个反馈情景,以研究投资者对投资经验的学习行为。本文共设定三个情景：(1)按照“私密信息s1——公开信息s2”的信息顺序；(2)按照“公开信息s1——私密信息s2”的信息顺序；(3)投资者在t2时刻同时接触到公开信息以及私密信息。然后依据上述三个情景进行理论推导并提出假说命题。
对命题进行验证时依据实验目分别采用被试间实验或被试内实验。实验结果基本验证了本文提出的假设,部分假设未获得证实(假设H1-3a①)或只是在特定环境中获得了证实(假设H4-1②、H5-2③)。研究结果显示,投资者的行为表现为一个多维的综合体：既有理性的成分,也有情感的交织,且情感常常会破坏投资者对理性思维的把控能力。在复杂的信息条件下,人们的投资往往倾向于选择性感觉,对私密信息易感性强的投资者,更容易忽略市场信息；对私密信息易感性弱的投资者,则更容易对公开信息则表现出反应过度。面对复杂信息,人们有忽略信息的倾向,不仅是有意为之,也可能是潜意识的——特别是不认可的信息来源或者是与信任的信息相反的信息。本文的研究还揭示出,投资者的情绪以及交易特质对投资反应具有显著的影响,包括：贪婪、损失厌恶、归因偏差、过度自信等等。
具体而言,本文主要得出以下几个结论：
(1)投资行为与行情判断表现出非一致性。基于损失厌恶,投资者的实际投资行为与自己对股票价格的行情判断并不是完全吻合,甚至差别很大,从而导致投资反应过度或不足。当投资者对行情判断的态度强度越强,其对损失的恐惧就会愈小,行情判断与行为表现出一致性的概率就会增加。另外人格特质、投资者的情绪也是影响二者一致性的重要因素,比如投资者的自信心越强,其表现出一致性的概率就会更高；易感性强的投资者如果表现出损失厌恶,在公开信息与私密信息不一致的时候,行为与判断表现出的差异较为明显。
(2)投资者依据私密信息投资具有普遍性。在本文研究中,私密信息易感性强的样本比重较大,许多投资者从小样本中获取了过多的信息。对私密信息易感性高的投资者倾向于忽视公开的历史信息,对新的私密信息表现出反应过度。这类投资者常常忽略市场风险,存在严重的投机行为,从而扰乱正常的市场秩序。
(3)认知偏差严重影响投资者的投资反应。研究显示：①投资者的投资情绪会影响其理性决策程度。过度自信的投资者,在公开信息利好的时候表现得更为贪婪；对私密信息易感性强的投资者在私密信息利好的时候则表现得更为贪婪,导致对利好信息反应过度,形成股票市场的超涨。而损失厌恶的存在则可能在公开信息与私密信息发生矛盾的时候出现反应不足,在公开信息与私密信息利空消息得到相互印证的时候发生反应过度,不断杀跌。投资者在进行证券买卖时,如果情绪左右了其投资行为,则可能过于忽视公开信息(私密信息易感性强的投资者)或粗暴对待私密信息(基于公开信息进行投资的投资者)。这类投资者在信息相互矛盾的情景下,容易采用启发式的投资决策方式。②过度自信的投资者在利好的情况下更容易放松对风险的警惕,表现出反应过度。且过度自信的人在投资失败的时候更倾向于外部归因,投资成功的时候则更倾向于内部归因。由于归因偏差的存在,此类投资者并不会从他们所犯的错误中学习。本文的研究还揭示,投资者的认知容易受到投资环境的影响,在公开信息利好、或者是公开信息与私密信息相互印证的情况下,投资者自信程度会增强,风险防范的意识却会降低。
(4)反馈对投资反应的修正作用受投资者情绪、特质影响。反馈结果分为两类,一类是正反馈,正反馈会使投资者对信息来源及信息处理模式产生锚定效应,导致过度自信及自我归因偏差,从而高估信息源的可靠性。另一类则是负反馈。此时,不同类型的信息(私密与公开)对不同特质(自信程度、易感性强弱、归因偏差)的投资者的反馈效果存在显著差异。另外,因偏差也是影响投资者对反馈结果学习的重要影响因素,将失败结果归因于外部条件而将成功归因于自身的投资者在私密信息负反馈的情况下对行为的修正水平要显著低于将投资结果成功归因于运气或外界因素的干扰而将失败归因于自身的投资者,这类投资者为了摆脱投资失败后的失调感,从而不愿意针对反馈信息进行学习。
本文的研究创新主要表现在以下三个方面：(1)本文构建了一个“IJAR”研究框架,即“信息(information)——判断(judgment)——行为(action)——结果(result)"框架对DHS模型进行进一步研究；(2)本文借助实证研究的优点,将前景理论融入DHS模型,放宽了模型的假定条件,修正了模型的部分结论,如DHS模型认为知情交易者(获得私密信息)是过度自信的,反应过度一般发生在信息的早期阶段；当信息投资者收到有关股票价值的噪声私有信息,会高估其准确性；投资者在接收到市场的真实信息后会有效修正自己的行为。但本文的实证研究结果显示对私密信息易感性差的投资者更倾向于过度自信,而这类投资者恰恰忽视私密信息的信息价值；对私密信息易感强的投资者,反应过度可以发生在任何阶段,包括股票的真实价值被揭露的阶段；实证研究也揭示了并不是所有的投资者均具有“后见之明”；或者说投资者并没有表现出传统金融学所言的最优学习过程。(3)DHS模型验证了投资者在面临一种时序信息的情景下的反应过度与反应不足问题,本文还验证了私密信息、公开信息同时到达情景下投资者的反应问题。
本文的研究不足主要表现在以下方面：由于经费原因,样本选择受地域性限制,可能存在实验结论效度不足的问题；本文利用问卷对投资者反应过度与不足进行描述,这种描述可能存在理解偏差。最后,本文的实验由于不是在实验室进行,在实验过程中对混淆变量控制可能会表现得不够严格。
The study on the behavior of investor reaction:over-reaction and under-reaction. The most influential model includes BSV model, DHS model and HS model explaining the under-reaction and over-reaction model. There are significant differences in the theoretical models and perspectives of the three models.
This paper is based on the DHS model. DHS model is study on investors from different perspective of investors react to private information and public information. The model assumes that the investors' reaction is based on two famous psychological deviation: investors overconfidence of private information accuracy and self attribution bias. Model has two important features: first, when the signal is private, stock price have impulse function. Second, it reflects the relation of the information characteristics (public or private) and the market reaction.
This paper is an empirical study on Chinese investors' investment reaction with the framework of DHS model. In the Chinese stock market, many investors to invest based on "inside information". Irrational behavior or phenomenon often shocked us. Compared to Western investors, Chinese investors face a higher differentiation securities investment environment, human environment traditional, psychological characteristics. Once involved in these variables, the standard finance helpless. This paper trying to uncover the internal psychological factors of investors in the under-reaction and over-reaction process to achieve the following two objectives:(1) to provide effective regulation of the decision-making basis for regulatory authorities, to shape a healthy stock market;(2) to provide investment decision-making advice for retail investors, reduce the irrational behavior of investors.
This paper put forward the proposition assumptions included in the basic assumptions of the "loss aversion". In the study, all experimental samples are informed traders. The complexity of the information set much higher than the DHS model, as follows:First, investors do not know the probability distribution of private information and public information; Second, the investor is in contact with the end of the two types of information before judgment; Third, investors access to private information and public information is conflicting.
The study added two very important variables based on DHS model:private information susceptibility and risk attitude (DHS model assumes that the independence of investor risk).In order to study the behavior of investors on the investment experience of learning, we set a feedback scenario.
According to the purpose of the experiment, we experiment to verify the proposition.The experimental results validate the assumptions presented in this paper, some of the assumptions are not confirmed or confirmed all. The study results show that investor behavior as a multidimensional complex:both rational component intertwined emotions, and emotions often undermine investors' ability to control rational thinking. Under the condition of complex information, people's investments tend to selectively feeling. Investors with strong predisposition to private information, are more likely to ignore market information; investors with susceptibility to the public information is more likely to overreact the public information. Faced with complex information, people tend to ignore the information, not only is intentional, but also it is the subconscious-especially not approved sources of information or is contrary to trust information. This paper studies reveal the person's mood as well as investment characteristics have a significant impact, including:greed, loss aversion (short-sighted), attribution bias, overconfidence investment reaction and so on.
In this paper, there are four main conclusions as following:
(1) The investment behavior and the market showed inconsistency judgment. Based on loss aversion, the investor's actual investment behavior and their judgment are not completely consistent with the performance of the stock price resulting in excessive or insufficient investment in reaction even with a big difference. The stronger attitude to market judgment, the smaller fear of loss.
(2) It seems universal for investor to investment based on private information. In this paper, the sample proportion of private information with higher Susceptibility is large; It shows that investment in China's stock market on the basis of private information is very common; many investors got too much information from small samples. Investors with high susceptibility of private information often behave over-react or ignore the history of public information. They often investment with over-reaction behavior. Such investors often behaved with high market risk, which disrupted the market order.
(3) Cognitive biases seriously affect the reaction of the investor's investment. This study show that: investment sentiment of investor will affect the degree of rational decision-making.In the position of positive, overconfidence investors easier ignore risks. And overconfidence investor attribute the investment failure to external attribution, but successful investor are more inclined to internal attribution.
(4) Feedback results are divided into two kinds:one kind is confirmed investors' judgments. Another kind is the public information confirmed the private information belong to the error information.
At the same time, the conclusion has been revised the DHS model in this paper, such as:(1)In the framework of DHS model, informed traders (access to private information) are overconfidence,。 According to the empirical study of this paper, investors with smaller private information susceptibility are more inclined to overconfidence, and such investors just ignore the information value of private information.(2) The DHS model revealed that overreact occur in the early stages, but for private information susceptible investors overreact can occur at any stage;(3)DHS model think that the investor modified their behavior after receives the market real information.
引文
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