ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ɪऎ证Վʹ易ה䝀ΥӺ计Β课题 ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ࠰ಥ理ʈɽ䕎课题组 课题Ӻ员j陈ʈ֗ ᨷ഼ ৷ឞ 课题Ӻ协调ɛjɪऎ证Վʹ易ה 卢˖䊧 ಀ刚 ᅋေ ๙ݖؓࢌၞᅬඔऌ֥ॉҳđૌ࣮ਔሧᆀӮඃ؇൞ೂޅ႕ཙሧྛູၛࠣࢌၞြ֥ࠛbݓ֥ܢௐ൧ӆഉඋ୍đၹՎૌࡌഡაᄝၛሧЧູ֝ཟ֥ഠ߶ᇏ֥ሧᆀཌྷбđݓሧᆀᄝሧࣜဒഈ҂ࠣభᆀӮඃbࠎႿ૭ඍྟ࠹đૌؿགྷݓሧᆀᅚགྷԛྛູഈ֥ொҵčࠧđૌुఏট߶oݖ؇ሱྐpѩႵౠཟིႋ൝Ďބ҂ࡄ֥ࢌၞथҦbૌൈಪູ༯ਙᇕሧᆀᄝሧഈбఃሧᆀ۷ູӮඃđૌ൞ğč1Ďࠏܒሧᆀđč2Ďၘࣜࠒఏ၂קሧࣜဒ֥ሧᆀđč3Ď୍Ӊ֥ሧᆀđč4Ďࠃᄁ֥ሧᆀđၛࠣč5Ďটሱݓն൧֥ሧᆀbૌؿགྷႵޓ఼֥ᆣऌіૼđᄀູӮඃ֥ሧᆀᄝࢌၞഈᄀౠཟႿٕհ༂ѩᄀಸၞཁགྷԛౠཟིႋbૌൈؿགྷđӮඃѩ҂၂קିࢆ֮ݖ؇ሱྐbሹุطđૌ֥ࢲંಪູሧᆀӮඃ؇ѩ҂၂קିࡨྛູഈ֥ொҵđ္҂ିิۚࢌၞြࠛb 1
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ Ч໓࣮ݓሧᆀ֥ሧྛູაࢌၞြࠛđݓ֥ܢௐ൧ӆഉඋ୍đѩᆰᇀቋ࣍ҌაຓࢸႵ৳༢bၹՎđაᄝၛሧЧູ֝ཟࣜ࠶ᇏč২ೂૅݓĎ֥ሧᆀཌྷбđݓሧᆀᄝሧࣜဒഈ҂ࠣభᆀӮඃbପહđᆃུദԩྍྖܢௐ൧ӆđമᇀ܄܋෮Ⴕಃؓૌটඪ္උྍۀ֥ሧᆀ֥ྛູ൞હဢ֥ĤᆃུྍሧᆀೂޅҠቔሧĤࣉ၂҄ࢃđčॖି္൞۷ູᇗေ֥Ď֒ᆃུྍሧᆀࠒఏࣜဒэ֤۷ູӮඃᆭൈđૌ֥ྛູ߶э֤۷ູoྟpગĤૌ֥ࢌၞြࠛ߶ิۚગĤ๙ݖؓ66,981۱ࢌၞᅬඔऌ֥࣮đૌॉҳਔሧᆀӮඃ؇൞ೂޅ႕ཙሧྛູაࢌၞြ֥ࠛb Ⴕ࣮ؿགྷ۱ದሧᆀ߶ཁൕԛݖ؇ሱྐbBarberބOdean(2000,2001)ၛࠣOdean(1999)ؿགྷđ۱ದሧᆀࢌၞݖႿَđѩϜሱദВႿۚڄགᆭᇏط൙ުሧथҦ҂ࡄbOdean(1999)ؿགྷđ۱ದሧᆀ෮છԛ֥ܢௐ֥ြࠛіགྷေႪႿઙࣉ֥ܢௐ֥іགྷbሧᆀൈཁགྷԛౠཟིႋčࠧđሧᆀౠཟႿݖᄪֹછԛఃሧ֥႓ࡅቆކđطӻႵൻࡅቆކ֥ൈࡗႻ߶ݖӉčShefrinބStatman (1985)Ďbᄝྏ࿐čགྷᄝ൞ᄝࣁವ࿐Ď໓ངᇏđᆃུౠཟބหᆘФ݂ࢲູྛູொҵࠇᆀಪᆩհ༂b҂ݖđ࣐ܵ࿐ᆀၘࣜषಪ്֞ሧᆀౠཟႿԛགྷྛູொҵđ൞࿐ᆀૌಯؓࣜဒࠇᆀoሧӮඃ؇pି؟նӱ؇ഈࡨᆃུౠཟᚂಖᆩbؓࣜဒაӮඃ؇֥࣮ؓૌࢳሧྛູॖିᇀܱᇗေbሧᆀॖି๙ݖo࿐༝pэ֤۷ູྟđၝࠇ֒ሧᆀݖۚܙ࠹ሱ֥࠭ሧӮඃ؇ඣൈđሧࣜဒ߶ࡆखᆃུྛູౠཟĤૌ๙ݖؓݓሧᆀ֥࣮টࢳथᆃ۱໙ีbᄝޓնӱ؇ഈđሧ֥ۀؓݓࠫެ෮Ⴕ֥ದط൞ᅙྍ֥bၹՎđն؟ඔ֥ሧᆀॖФ൪ູࣜဒ֥ሧᆀbᆃུྍሧᆀೂޅሧѩఃြࠛᄸဢĤؓପུၘࣜࠆ֤၂קሧࣜဒ֥ 2
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ሧᆀطᄝྛູބି৯ഈ߶ཁൕԛҵၳગĤ๙ݖؓᆃਆ۱໙ี֥࣮đૌॉҳሧᆀӮඃ؇൞ೂޅ႕ཙሧྛູაြ֥ࠛb ૌᆌؓݓሧᆀቔਔቆൌᆣဒb൮༵đૌ๙ݖؓછԛ֥ܢௐ֥ު࿃൬ၭაઙࣉ֥ܢௐ֥ު࿃൬ၭᆭࡗ֥ؓбটಒಪࢌၞြࠛbఃՑđૌҩקሧᆀ؟նӱ؇ഈౠཟႿӻႵіགྷ҂ࡄ֥ܢௐčൻࡅቆކĎطછԛ႓ࡅቆކčࠧđౠཟིႋĎbቋުđૌܙሧᆀ෮ᅚགྷԛ֥ݖ؇ሱྐหᆘ֥ӱ؇bऎุࢃđૌဒఃࢌၞࠃაሧڄགᆷѓb ሸކطđૌؿགྷݓ֥ሧᆀᄝሧथҦᇏ߶ཁൕԛಪᆩհ༂đՖૌಌكሧࣜဒᇏ္ॖି؎ԛটՎགྷའb൞đૌൈؿགྷᆃᇕౠཟᄝପུၘࣜࠆ֤ࢠ؟ሧࣜဒ֥ሧᆀദഈѩໃࡨbႭః൞đૌؿགྷႵᆣऌіૼݓሧᆀ֥൙ުࢌၞथҦ҂ࡄč২ೂđૌછԛ֥ܢௐ֥іགྷᄝު࿃ൈࡗᇏေ఼Ⴟઙࣉ֥ܢௐ֥іགྷĎđࠧૌ۷ౠཟႿછԛ႓ࡅቆކط҂൞ൻࡅቆކđѩ߶ཁགྷԛݖ؇ሱྐ֥หׄč২ೂđૌሧ֥ٳ߄ӱ؇҂ܔѩ߶Фۚڄགܢௐ෮ႺࠈĎbطđૌؿགྷᄝପུ۷ູӮඃ֥ሧᆀᇏđᆃུྛູაหྟ۷ູૼཁđෙಖܱႿݖ؇ሱྐ֥ဒ֥ࢲݔ൞ଆ্ਆॖ֥bၹՎđૌ֥࣮ࢲݔѼԇਔoӮඃ֥pሧᆀିܔक़ڛྛູொҵაಪᆩհ༂ౠཟ֥ܴׄb۷၂Ϯֹࢃđ౨ᇿၩૌ֥ࢲݔڎಪਔӮඃ֥ሧᆀ൞o۷ࡄ֥pሧᆀ֥ᇶᅦđᆃ၂ࢲં൞აႵི൧ӆંཌྷ၂ᇁ֥b Ⴥ໓ࢲܒೂ༯ğ༯၂ࢫฐษႵܱሧྛູ֥໓ངѩ૭ሧᆀӮඃ؇֥ۀĠֻؽ҆ٳ૭ඍૌ֥ඔऌѩ܍ীൌᆣဒ֥ॿࡏĠֻ҆ٳӯགྷѩษંૌ֥ൌᆣ࣮ࢲݔbቋު၂҆ٳ൞ࢲંb ၂aሧྛູაሧᆀӮඃ؇ 3
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ሧᆀѩ҂၂ᆰ൞ྟ֥bཌྷّđ၂ུሧᆀ߶ౠཟႿԛགྷ۲ᇕো֥ྛູொҵđᆃུྛູொҵႄᇁૌٕಪᆩհ༂bHishleiferč2001Ď݂ବԛሧᆀٕ֥۲ᇕಪᆩհ༂֥োbఃᇏ၂ᇕಪᆩհ༂൞ሱ௺đሱ௺ԛགྷ൞ၹູದౠཟႿಪູૌбགྷൌᇏ֥ሱ࠭۷ႪྮčTriversč1991ĎĎbં൞ྏ࿐໓ངߎ൞ࣁವ࿐໓ངϜՎᇕྛູख़߂oູݖ؇ሱྐpbݖ؇ሱྐ֥ሧᆀཌྷྐૌିࠆ֤ऍն֥൬ၭđၹՎૌࢌၞ۷َູѩӈӈ֮ܙཌྷܱ֥ڄག(Benos (1998), DeLong, Shleifer, SummersބWaldmann (1990), Kyle ބWang (1997), Odean (1998b)ၛࠣWang (1998, 2001))bൌᆣᆣऌ္ᆦӻھંbBarberބOdean (2000, 2001) ၛࠣOdean (1999)࣮ਔ1991-1997୍௹ࡗ78,000۱ૅݓࡅ๖֥ࢌၞଆൔުؿགྷđሧᆀࢌၞݖႿَѩӻႵۚڄག֥ሧቆކb൙ൌഈđቔູݖ؇ሱྐౠཟ֥ࢲݔđOdean (1999)ؿགྷ۱ದሧᆀ൙ު֥ࢌၞथҦ္҂ࡄbࠧđ۱ದሧᆀછԛ֥ܢௐ֥ު࿃іགྷေႪႿઙࣉ֥ܢௐ֥іགྷb ਸ਼၂ᇕো֥ಪᆩհ༂൞؎ࡥֆ߄đ؎ࡥֆ߄ԛགྷ൞ၹູ۱ದ֥ᇿၩ৯a࠺ၫ৯ၛࠣԩି৯֥Ⴕཋྟb؎ࡥֆ߄֥၂ᇕྙൔ൞ྏ߶࠹đದ֥ၩ്߶ᄝྏᅬഈ༯აथҦཌྷܱ֥൬ၭބാ֥ޒࠖ(Thaler(1980))bऌHirshleifer(2001)෮đྏ߶࠹ିܔࢳoౠཟིႋpbࡥֆটࢃđದ߶ᄝఃྏᅬᇏ༐ຬૌႪਅ֥थҦିܔ৫֤ࠧ֞ൌགྷđ൞߶ӵಪሱ࠭ቓਔߊ֥थҦbᆃᇕྛູொҵؓሧྛູႵ႕ཙbࠧđሧᆀॖିછԛሼ൝ݺ֥ܢௐၛՎটሱۋतਅݺđࠇᆀၛՎটཟದԸྵఃିܔ็࿊Ⴊܢ֥ି৯bൈđሧᆀॖି࿃ӻႵіགྷ҂ࡄ֥ܢௐđၹູૌ҂჻ၩӵಪሱٕ࠭ਔհ༂đѩքྏᆃུܢௐିܔّčࠧđૌ҂མ၌ݭĎčShefrin and Statman (1985)ĎbOdean (1998a)ؿགྷਔൌᆣᆦӻbऎุࢃđؿགྷ۱ದሧᆀ۷჻ၩӵಪᅬ૫൬ၭط҂჻ӵಪᅬ૫ാb ҂ݖđྏ࿐ࡅၘࣜؿགྷđࣜဒ҂֥ದؿളಪᆩொҵ֥ӱ؇္҂ཌྷb২ೂđႵದ 4
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ॖିಪູࠒ֥ࣜဒॖၛࢆ֮ԛགྷಪᆩհ༂֥ౠཟbಖطđ၂ུ࿐ᆀཌྷྐ၂ུหק֥ྛູொҵđбೂݖ؇ሱྐđॖି൙ൌഈ߶ϴෛሢࣜဒ֥ᄹӉطࡆᇗb২ೂđᄝ၂۱ॖყᆩି৯ޓ֥֮ܢௐ൧ӆߌᇏđoህࡅpമᇀॖିбྍ൭۷ಸၞԛགྷݖ؇ሱྐđᆃ൞ၹູૌᅧሢંބଆđႵਔૌ֥ϺᇹᆃུህࡅॖିౠཟႿۚܙሱ࠭(Griffin ބTversky (1992))bCamerer ބJohnson (1997)Ϝህࡅ҂ିቓԛሙಒყҩӫᆭູoݖӱ-ြࠛᆭpbਸ਼၂ᇕॖିෛሢࣜဒᄹӉطջটݖ؇ሱྐ֥ࠏᇅ൞ၘࣜऎႵਔ၂ུӮۿࣜဒ (Wolosin, ShermanބTill (1973))b GervaisބOdean (2001)ิԛ၂۱ଆđᄝھଆᇏሧᆀၹູࣜݖ൧ط࿐߶э֤ݖ؇ሱྐbၹՎđॖყᆩପུᄻᄝ൧ᇏሧݖ֥ሧᆀбྍሧᆀ۷؟ֹཁൕԛݖ؇ሱྐ֥หׄbࣼՎطđӮඃ֥ሧᆀčऎႵ۷؟֥ࣜဒĎॖିбᇈା֥ሧᆀ۷ູಪᆩொҵ෮b Ⴕ၂ུᆣऌᆦӻପུყ࠹Ӯඃ֥ሧᆀбᇈା֥ሧᆀ۷ಸၞԛགྷಪᆩொҵ֥ંބଆđ൞ᆣऌႵུ҂ᆰࢤb২ೂđBarber ބOdean (2001)ಪູᄝૅݓሧԮഈ൞၂ཛऎႵଳሰݱగۀ֥ༀđၹՎᆜุطଳྟФಪູб୯ྟ۷ౠཟႿሧbૌႨࢩᇀ1996୍܋࠹6୍௹֥37,000۱ࡅ๖ᅬ֥ඔऌ࣮ਔૌิԛ֥ᆃ၂ࡌഡbૌ֥࣮ࢲݔཁൕđଳྟ֥ಒཁൕԛ۷֥ۚݖ؇ሱྐ֥หᆘđᇭೂݖ֥ࢌၞބࢠ֥ۚڄགӵ൳bᄝਸ਼၂໓ᅣᇏđBarber ބOdean (2002)࣮ਔٳӮۿ֥ሧᆀ֥ြࠛđᆃུሧᆀၘࣜՖ߅ࢌၞ༢ሇཟᄝཌࢌၞbᆃུሧᆀᄝሇཟᆭభ֥Ӯۿіགྷ۷ॖିႄఏૌؓሱദି৯֥ݖ؇ሱྐbࡌקᄝཌߌ۳ᆃུሧᆀݖ؇ሱྐྛ൙ิ܂ਔьࢮđૌ֥ࢌၞࠃෛުิۚđ൞ૌ֥ሧြࠛಏ༯ࢆbః֥ൌᆣ္࣮ऎႵఓؿྟb২ೂđCoval ބMoskowitz (1999)ؿགྷᇹࠎࣁ߶ԛགྷඃ༑ொҵčࠧđࠎࣁொݺପུሹ໊҆Ⴟڸ֥࣍܄ඳĎđCoval ބShumway (2002)ؿགྷᆤࡆۢ௹ࠊࢌၞ෮֥ሱႏഅ߶ԛགྷ߭хാ֥ொҵb 5
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ҂ݖđః֥ሧࢌၞંაଆϜӮඃ֥ሧᆀ൪ູପུ൳Ⴟಪᆩொҵࠇ٤ྟྛູ֥౦ঃࢠഒ֥ದൖ(২ೂđҕBanerjee (1992), DeLong֩(1990), Hirshleifer֩(1994)ၛࠣShleifer ބSummers (1990))b২ೂđՎো໓ངࣜӈϜ۱ದሧᆀط҂൞ࠏܒሧᆀ൪ູࣜဒࢠഒđၹՎϜ٤ྟྛູބ൧ӆၳའ݂ࢲႿૌ֥ࢌၞbᆩ֥aྐ༏҂ቀ֥ሧᆀοᅶ౦࿂ቓࢌၞ൞ရಕིႋ໓ངᇏ֥၂۱௴ђᇶčีҕLee, ShleiferބThaler (1991)Ďbط, Shiller (1984)ၛࠣ De Long, Shleifer, SummersބWaldmann (1990)ᆷԛđ൞ॾಣაൈഉط҂൞ࠎЧ૫۷ಸၞؓ۱ದሧᆀӁള႕ཙb္թᄝ၂ུႄದᇿଢ֥ൌᆣᆣऌᆦӻӮඃ֥ሧᆀ۷ູྟ֥ඪمbႨটሱٯধ֥ඔऌđGrinblatt ބKeloharju (2000, 2001b)ؿགྷӮඃ֥ሧᆀčᄝૌ֥໓ᅣᇏಪູ൞ݓຓሧᆀĎ۷ౠཟႿՖਈࢌၞҦطࢠഒֹԛགྷܣཔொݺ֥ౠཟbӮඃ္ुරିࡨౠཟིႋbShapira ބVenezia (2001)࣮ਔၛਙ֥ࢌၞᅬުؿགྷđनطđ۱ದაህြ֥ࠏܒሧᆀཌྷбđӻႵіགྷ҂ݺ֥ܢௐ֥ൈࡗေӉ8฿b Ӯඃ္ିܔࠆ֤ࠇᆀϴෛࣜဒط࿐༝֞bBlume ބEasley (1982)૭ਔࢌၞᆀ൞ೂޅ๙ݖؓሱദݖಀ෮ٕհ༂֥ಪᆩა࿐༝ᇏ࿐߶э֤۷ູྟbᄝਸ਼၂໓ᅣᇏđBlume ބEasley (1992)ಪູପུऎႵНွථ࿐༝ଆൔ֥ࢌၞᆀčᆷପུࠎႿࣜဒট۷ྍྐაყ֥ದൖĎ۷ಸၞᄝ൧ӆᇏթࠃbList (2003)ิ܂ਔൌဒྟᆣऌᆦӻࢌၞᆀିܔ๙ݖ࿐༝э֤۷ູྟ֥ંbऎุࢃđؿགྷᄝႵਔࣜဒުđࢌၞᆀčᄝ֥൫ဒᇏࢌၞᆀ֥ଢѓ൞൬ҟđ২ೂᄎն൙࠺აࢂஇĎ۷ഒֹ൳֞ጋڮིႋ֥႕ཙčࠧđૌ҂߶ၹູႚႵ၂ཛ൬ҟطݖֹۚܙ࠹֥ࡎᆴĎb ሹุطđᄝགྷႵཌྷԊ֥ંაൌᆣᆣऌ૫భđૌѩ҂ିᆰࢤुԛሧᆀ֥ࣜဒඣაӮඃӱ؇൞ೂޅ႕ཙૌ֥ྛູொҵၛٕࠣհ༂ౠཟ֥bطđൌᆣࣁವ໓ངᆺ൞ቋ 6
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ࣍Ҍषಆ૫ֹѩᆰࢤֹ࣮ᆃ၂໙ีbᄝЧ໓ᇏđૌ࣮ሧᆀӮඃ؇൞ೂޅ႕ཙሧྛູაࢌၞြ֥ࠛbᆭ෮ၛ࣮ݓሧᆀ൞ၹູૌࡌഡđაሧЧ֝ཟӱ؇֥ۚݓࡅᇏ֥ሧᆀཌྷбૌഉඋᇈାđၹູն؟ඔݓሧᆀࢤԨሧ҂ࣲbؓପུӮඃ؇֥ۚݓሧᆀčࠧđህြ֥ࠏܒሧᆀđࠇᆀၘࣜࠒఏ၂קࣜဒ֥۱ದĎđૌ࣮ૌ൞۷؟֥ߎ൞۷ഒ֥ཁགྷྛູொҵbູਔቓᆃཛ࣮đૌႨਔࠫཛսэਈটіൕሧᆀӮඃ؇bႮՎđૌཌྷྐЧ໓߶ؓྛູࣁವ࿐໓ངቓԛཁᇷ֥܊ངb ෙಖૌ֥ሧᆀӮඃ֥ۀ൞၂۱ٗᆷđૌཌྷྐఃᷠ৯ݸ҂bં൞ሧࣜဒߎ൞ളࠃࣜဒႵᇹႿሧᆀᄝ҂ಒק֥౦ঃ༯۷ູඃֹᇅקथҦbၹՎđૌϜପུऎႵ۷؟ሧაളࠃ/Ֆഅࣜဒ֥ದൖ൪ູ۷Ӯඃ֥ሧᆀbႮՎॉ੮đቔູህြሧᆀ֥ದൖࠇᆀၘࣜሧޓӉൈࡗ֥ದൖࠇᆀ୍֥ሧᆀॖ൪ູޓӮඃ֥ሧᆀbೂభ෮ඍđᄝ໓ངᇏ௴ђϜህြčࠏܒĎሧᆀ߃קູӮඃ֥ሧᆀطϜ۱ದሧᆀ߃קູ҂Ӯඃ֥ሧᆀbЧ໓Ϝሧᆀࣜဒၛࠣሧದ୍֥ਭቔູҩ؇Ӯඃ؇֥эਈᄝൌᆣဒٚ૫ࡼ߶ཚႵࠫཛႪ൝b൮༵đᆃဢ֥ҩ؇ࡼӮඃ؇Ӯູ၂۱৵࿃֥эਈbఃՑđࣼݓطđᆃུэਈॖିбᄝૅݓ֥ሧߌᇏି۷ۄֹ࣪ቔູҩ؇Ӯඃ؇֥эਈb২ೂđሧᆀ୍֥ਭࠇ۱ದሧ୍֥ཋbႵದॖିಪູđପུऎႵޓഒࠇᆀ۴ЧીႵሧࣜဒ୍֥ሧᆀႮႿ҂Ӯඃط۷ౠཟႿԛགྷಪᆩհ༂ࠇྛູொҵb҂ݖđᄝૅݓđ୍֥ሧᆀაીࣜဒ֥ሧᆀିܔՖڳଛaࣜࡀದ֩ऎႵپڶሧࣜဒ֥ದପࠆ֤ሦ࿘đၝࠇૌିՖ࿐ࠇ۱ದሧ۽ቔ൩࿐༝ࠎЧ֥ሧંb൞đሧࠫެؓ෮Ⴕ֥ᇏݓದ൞ྍ႖֥đႭః൞ᄝ20ൗࡀ90୍սᄪ௹bၹՎđᄝࣁವሦ࿘ྛြؿᅚ֥Ӿߏ֥౦ྙ༯ࣜဒᇶေႮ۱ದটࠆ֤bࢤ༯ট֥ᅣࢫ૭ඍૌ֥ඔऌѩۀඍૌ൞ೂޅቓൌᆣဒ֥b 7
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ؽa ඔऌၛࠣؓӮඃ֥ҩ؇ ݓ֥ܢௐ൧ӆႮਆ۱ᆣಊ൧ӆܒӮğٳљႿ1990୍11ᄅބ1991୍4ᄅӮ৫֥ഈݚܢௐࢌၞ෮čSHSEĎაധᎪܢௐࢌၞ෮(SZSE)bᆃਆ۱ࢌၞ෮ൌྛሱܵᇅѩ҂ᄍྸࢌҭഈ൧bݓ֥ܢௐ൧ӆֆ၂֥၇ঠႿཋࡎກbഈࢌ෮აധࢌ෮ᄝྒ௹၂ᇀྒ௹ࢌၞđѩૄ฿Ⴕਆ۱ࢌၞൈࡗ؍ğഈՖ9ğ30षᇀ11ğ30о൧đ༯Ֆ13ğ00षᇀ15ğ00о൧bݓ֥ܢௐ൧ӆᄝݖಀ୍֥ࡗᅚགྷԛ఼࣑֥ᄹӉ൝đ֒భၘࣜӮູൗࢸֻࣴնࢌၞ൧ӆbଢభđᄝഈࢌ෮აധࢌ෮ഈ൧֥܄ඳඔնჿႵ1,250ࡅđሹ൧ᆴӑݖ4ຣၡದлbაՎൈđᄝݓႵ100Ⴥࡅᆣಊࢌၞ܄ඳđሧᅬඔӑݖ7,000ຣbॉ੮֞ݓஔն֥ದ१đၹՎაؿղݓࡅཌྷбႚႵࢌၞᅬ֥ݓ܄֥б২ಯ൞ޓ֥֮bᄝݓ҂թᄝሧЧ০֤ඥđѩ࣌ᆸЌᆣࣁࢌၞb 1ૌ֥ࢌၞᅬඔऌটሱ၂ࡅᆣಊ܄ඳbఃᇏႵ66,736۱۱ದሧᆀᅬა245۱ࠏܒሧᆀᅬđކ࠹66,981۱ᅬbᆃུᅬ֥ဢЧ௹ࡗ൞Ֆ1998୍5ᄅ20ರᇀ2002୍9ᄅ30ರbૌҐࠢၛ༯ඔऌğሧᆀ୍֥ਭčೂݔ൞۱ದሧᆀĎđሧᆀӻႵھᅬ୍֥ඔđሧᆀઙછࢌၞࠃၛࠣᅬ෮໊Ⴟֹ֥čӬ൧ĎbݓթᄝਆᇕܢௐğAܢაBܢbਆᆀ֥ࠎЧҵљᄝႿః෮Ⴕಃഈ֥ཋᇅbAܢႮݓ܄ӻႵđطBܢႮݓຓሧᆀӻႵbၹՎđЧ໓ᆺЇݣAܢඔऌbᄝඔऌဢЧᇏ܋Ⴕ1,139ᆺܢௐđఃᇏᄝധᎪࢌၞ෮ഈ൧֥Ⴕ502ᆦAܢđᄝഈݚࢌၞ෮ഈ൧֥Ⴕ637ᆦAܢbູਔ࠹ෘܢௐ൬ၭđૌႨႮཐۖ۽ն࿐ބധᎪݓνྐ༏ඌႵཋ܄ඳषؿაົ֥uᇏݓܢௐ൧ӆა߶࠹࣮čCSMARĎඔऌ९vᇏ֥ᄅ൬ၭੱඔऌbі၂ބіؽӯൕਔؓЧ໓ࢌၞᅬඔऌ֥ሹࢲྟ࠹bᄝі၂ᇏđૌБۡਔؓᆃུࢌၞᅬ֥૭ඍྟ࠹bᄝіؽᇏđૌ݂ବਔᆃུᅬؿളࢌၞࠃ֥༥ࢫb ቔູႨඔऌ֥၂۱่ࡱđૌྸ୶҂܄षᆃࡅ܄ඳ֥ሳb 8
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ <ՎԩҬೆі၂> <ՎԩҬೆіؽ> Ч໓֥ඔऌ९ᄍྸૌοᅶᇕٚൔҩ؇ሧᆀӮඃbֻ၂đაࠏܒሧᆀཌྷбđ۱ದሧᆀФૌഡקູ٤Ӯඃ֥ሧᆀbაGrinblatt ބKeloharju (2000, 2001a)ཌྷරđૌϜࠏܒሧᆀ֒ቔӮඃሧᆀᆺ൞ၹູሧ൞ૌ֥ࠎЧᆯିđط۱ದሧᆀᄵ҂ಖđႭః൞ᄝݓbֻؽđૌႨሧᆀӻႵࢌၞᅬ୍֥ཋቔູሧࣜဒ֥эਈbष֥ൈࡗᄀӉđሧᆀࣼᄀӮඃbֻđૌϜሧᆀ୍֥ਭ֒ቔਸ਼ຓ၂۱ҩ؇ࣜဒ֥սіਈbሧᆀᄀ୍Ӊđളࠃᇏࠒఏ֥थҦࣜဒࣼᄀ఼b҂ݖđૌӵಪѩ҂ౢԣളࠃࣜဒ൞ڎିሧᆀ۷ູӮඃbֻඹđૌϜࢌၞੱ֒ቔਸ਼ຓ၂۱іൕࣜဒ֥սіਈbሧᆀࢌၞ֥؇ᄀۚđࠇෲࠆ֤֥ࢌၞࣜဒᄀॹčҕDhar ބZhu (2002)Ďbᆺ൞षطޓഒቓࢌၞ֥ದൖ҂ॖିࠆ֤ࣜဒb ֻđ္൞ቋުđૌϜᅬӻႵ္ֹବೆؓሧᆀӮඃ؇ඣ֥ॉ੮ᆭᇏbᆃུᅬٳљ໊Ⴟੂ۱҂ֹ֥ğݱaྍࡿaڞโaഘ१aഈݚބ௵תbڞโބഘ१൞ധᎪ֥ਆ۱đط௵ת൞ഈݚ֥၂۱bᄝૌ࣮֥თᇏđഈݚაധᎪॖ൪ູն൧bഈݚФྸ؟ದ൪ູᇏݓ֥୧ჿbᄝݓđྸ؟֥ն܄ඳބפࠩۚ߸ࠢഈݚbၹՎđഈݚ֥ᆜุඌඣა࢝ტඣॖିۚႿݓ֥ఃֹbطФૌ൪ູਸ਼၂۱ն൧֥ധᎪđ൞ݓֻ၂۱ࣜ࠶หbധᎪᄻቔູ၂۱ॖၛᄍྸሧЧᇶၬَؿᅚ֥൫ဒӬ൧bൈᇀࣂರđႮႿ൫ဒ֥ӮۿၛࠣிਣཐۖđധᎪၘࣜӮູݓ֥ᇶေࣜ࠶ุᆭ၂bၹՎđᄝഈݚބധᎪषഡᅬ֥ሧᆀॖିбটሱݓఃֹ֥ሧᆀ۷ູӮඃbൈ္ႋ֒ᇿၩ֞đݓ֥ਆ۱ࢌၞ෮ఞఞ໊Ⴟᆃਆ۱Ӭ൧bChristoffersen ބSarkissian (2002)ؿགྷႵᆣऌіૼđ໊Ⴟࣁವᇏྏ֥ሧᆀбପུી໊Ⴟࣁವᇏྏ֥ሧᆀ۷ಸၞݖ؇ሱྐb 9
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ૌ֥࣮ٚمᆰࢤૼਔb൮༵đૌ๙ݖ૭ඍྟ࠹ॉҳğč1Ďᇏݓ֥ሧᆀᄝఃࢌၞࠃᇏ൞ೂޅіགྷ֥đč2Ď൞ڎᇏݓ֥ሧᆀ߶છԛ႓ࡅቆކطઙೆൻࡅቆކđč3Ďᇏݓሧᆀݖ؇ሱྐ֥ӱ؇Ⴕ؟ۚbఃՑđ۷ູᇗေđЧ໓ၛૌ֥Ӯඃ؇ᆷѓູࠎԤϜඔऌ߃ٳູඔ۱ဢЧđѩᄝᆃུဢЧᆭࡗቔֆэਈбࢠၛҳुӮඃ؇൞ೂޅ႕ཙሧྛູაࢌၞြ֥ࠛbૌ္ቔਔ݂߭ٳ༅đၛՎটܙᄝఃэਈܥק֥౦ঃ༯ૄ၂۱эਈؓྛູაြ֥ࠛ႕ཙbᇿၩđ݂߭ٳ༅০ႨਔૌӮඃ؇֥ඔऌ൞৵࿃ྟэਈ֥Ⴊ൝b༯၂ᅣࢫБۡЧ໓֥ൌᆣࢲݔb a ൌᆣࢲݔ ೂభ෮ඍđૌؓݓሧᆀቓਔቆൌᆣဒbཌྷႋֹđૌϜؓൌᆣࢲݔ֥ษંၧٳູ۱҆ٳb A. ሧᆀӮඃ؇აࢌၞြࠛ Odean (1999)ᆷԛđ۱ದሧᆀ֥ࢌၞြࠛ҂ࡄbऎุࢃđOdeanဒਔሧᆀછԛ֥ܢௐ֥ު࿃іགྷđѩࡼᆭაઙࣉ֥ܢௐ֥іགྷቔбࢠbഡམ၂۱ሧᆀછԛ၂ᆦܢௐđѩႨᆃ҆ٳ൬ೆઙࣉਸ਼၂ᆦܢௐbೂݔđછԛ֥ܢௐ֥ު࿃іགྷႪႿઙࣉ֥ܢௐ֥іགྷđᄵሧᆀೂݔିӻႵభᆀᄵ߶۷ݺbՎཛࢌၞࣼඋႿ҂ࡄ֥थҦbOdeanࢣൕԛđ۱ದሧᆀఞఞ๙ӈቓՎোࢌၞb ࿖ሢOdean֥ٚمđૌؓሧᆀઙೆაછԛ֥ܢௐ֥ު࿃न൬ၭቔਔಒಪbૌ࠹ෘਔૄ၂ܢௐᄝࢌၞު֥ඹ۱ᄅč84۱ࢌၞರĎa၂୍č252۱ࢌၞರĎၛࠣਆč୍504۱ࢌၞರĎ֥ᆜุ൬ၭbіБۡਔᆃུ൬ၭb 10
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ іᇏ֥Aቆཁൕԛđઙೆܢௐ֥ު࿃൬ၭᄝඹ۱ᄅު൞%đطછԛ֥ܢௐ֥௹ު࿃൬ၭ൞%bਆᆀᆭࡗ֥ҵᆴč%Ďᄝ1%֥ඣ༯ཁᇷbࢌၞު֥၂୍ބਆ୍đઙࣉაછԛ֥ܢௐᆭࡗ֥൬ၭҵᆴٳљູ%ބ%bᄝၛૅݓሧᆀູဢЧ֥࣮ᇏđOdeanؿགྷઙࣉაછԛ֥ܢௐ൬ၭҵᆴᄝࢌၞؿളު֥ඹ۱ᄅa၂୍ބਆ୍ٳљູ%%ၛࠣ%bၹՎđᄝݓઙછܢௐ൬ၭҵᆴᄝ؋௹ଽčඹ۱ᄅĎࢠնطӉ௹ࢠཬč၂୍ࠇᆀਆ୍Ďbሹุطđᆃཁൕԛݓሧᆀ҂ࡄ֥ሧြࠛ൞აૅݓ۱ದሧᆀཌྷර֥b <ՎԩҬೆі> BቆᇀFቆཁൕԛᄝ҂ဢЧࡗઙೆაછԛܢௐ֥൬ၭҵᆴbBቆਙԛ۱ದሧᆀაࠏܒሧᆀᆭࡗ֥ြࠛҵၳb۱ದሧᆀඹ۱ᄅ֥ઙ-છ൬ၭҵᆴູ%đطࠏܒሧᆀ൞%bࣉ၂҄ٳ༅іૼđࠏܒሧᆀઙછ൬ၭҵᆴᇶေটሱࠏܒછԛ֥ܢௐ֥ު࿃ӑۚ൬ၭbࠏܒઙࣉܢௐ֥൬ၭ൞%đطછԛ֥ܢௐ൬ၭ൞%bၹՎđෙಖࠏܒሧᆀѩીႵാ൞ೂݔૌ҂છԛᆃུܢௐ֥߅ᄵᆖ֤ఫ߶۷؟b۱ದሧᆀაࠏܒሧᆀઙ-છ൬ၭҵᆴᄝࢌၞؿളު֥၂୍აਆ୍აඹ۱ᄅဢ֥նb Cቆбࢠਔषӑݖ3୍֥ࢌၞᅬაषഒႿ֩Ⴟ3୍֥ࢌၞᅬbषഒႿ֩Ⴟ3୍֥ࢌၞᅬછԛ֥ܢௐ֥൬ၭۚႿઙࣉ֥ܢௐ֥൬ၭb҂ݖđषӑݖ3୍֥ࢌၞᅬ֥ઙ-છҵᆴ߶ཁᇷ۷նč২ೂđඹ۱ᄅ௹൞%ؓ%Ďb֒ϜဢЧοᅶ୍ਭٳቆൈđೂDቆđ߶ԛགྷཌྷර֥ࢲݔbࠧđෙಖ୍ሧᆀછԛ֥ܢௐ֥іགྷႪႿઙࣉ֥ܢௐ֥іགྷđᆃᇕҵᆴෛሢሧᆀ୍֥ਭᄹࡆطᄹնb ૌᄝEቆᇏбࢠਔ֮ࢌၞᅬაۚࢌၞᅬ֥ࢌၞြࠛb֮ࢌၞᅬᄝࢌၞؿളު֥ඹ۱ᄅa၂୍aਆ୍ٳљࣜਔ%%ބ%֥ઙ-છ൬ၭҵᆴbطۚ 11
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ࢌၞᅬઙ-છ൬ၭҵᆴٳљູ%%ބ%bၹՎđ֮ؓაۚᅬ֥бࢠࢲݔཁൕۚᅬ഻၂Ԕbᆃ၂ࢲݔაOdeanč1999Ďཌྷ၂ᇁđؿགྷૅݓ֮ࢌၞᅬᄝࢌၞؿളުඹ۱ᄅ֥ઙ-છ൬ၭҵᆴູ%đطۚᅬ֥ઙ-છҵᆴࣇູ%b ೂభ෮ඍđंᇾᄝധᎪčࠧđڞโބഘ१Ďაഈݚčࠧđഈݚა௵תĎӬ֥ंაݱބྍࡿ֥ंཌྷбđФಪູؓሧЧᇶၬ۷ູඃᆩაႵࣜဒb໊Ⴟݓᇏ֥҆ݱ൧࠻൞ݓᇗေ֥۽ြӬ൧ᆭ၂đၧ൞ํਫ਼აݴᄎčᇷ֥ӉࡾԬӬطݖĎ֥ࢌ๙൷୧b࠻ಖݱႚႵႪྮ֥ն࿐ѩؓഅြႵ၂קࣜဒđၹՎ֥ंႋ֒Ф൪ቔᇏ֩ӮඃbაૌဢЧᇏ֥ఃӬ൧ཌྷбđ໊Ⴟݓொჹ֥ն༆К֥ྍࡿॖၛФ൪ቔ၂۱oโჳᆭཔpbྍࡿ֥ሧᆀᄝૌ֥ဢЧᇏॖၛФ֒ቔࣜဒቋഒaӮඃ؇ቋ֥֮ሧᆀb FቆБۡਔૄ၂۱ֹᅬ֥ઙ-છ൬ၭb໊Ⴟഈݚ֥ᅬᄝࢌၞު۲۱௹ࡗ؍֥ઙ-છ൬ၭҵᆴቋնbط໊Ⴟݱ֥ᅬ֥ઙ-છҵᆴሹุഈ٤ӈ֮b Чі֥ࢲݔčԢਔEቆ֥ࢌၞੱ֥ࢲݔĎิ܂ᆣऌіૼđሧᆀӮඃ؇߶ࡆखಪᆩհ༂bᄀູӮඃ֥ሧᆀ֥൙ުࢌၞथҦᄀᄦbູਔࣉ၂҄ฐษھ໙ีđૌႨ݂߭ٳ༅ဒઙ-છ൬ၭҵᆴbіඹБۡਔ༯ਙ݂֥߭༢ඔđఃᇏઙ-છ൬ၭҵᆴٳљοᅶࢌၞު֥ඹ۱ᄅčAቆĎa၂୍čBቆĎބਆ୍čCቆĎҩ؇ğ ઙ-છ൬ၭ = α + β(Instit or Age) + β(OpenTime) + β(HighTradeFreq) 123 + β(Shenzhen) + β(Shanghai), (1) 45ఃᇏđInstit൞၂۱эਈđ֒ᅬඋႿࠏܒሧᆀč۱ದሧᆀĎൈ֩Ⴟ1č0ĎđAgeսі۱ದሧᆀ୍֥ਭđOpenTimeսіᅬष৫ൈࡗ୍֥ཋđHighTradeFreq൞ਸ਼၂۱эਈđіൕࢌၞࠃ൞ڎ໊ंభ10%đShenzhenބShanghaiٳљіൕᅬ൞ڎ໊Ⴟᆃਆ۱Ӭ֥эਈbႮႿAge҂ିႨႿࠏܒሧᆀđ෮ၛૌቓਔਆቆ݂߭ii၂ቆ݂߭Ⴈਔ 12
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ᆜุဢЧၛࠣInstitэਈđطஆԢAgeэਈĠਸ਼ຓ၂ቆ݂߭ࣇႨ۱ದሧᆀᆃ۱ဢЧđѩЇݣਔAgeэਈb <ՎԩҬೆіඹ> ᄝіඹ֥Aቆᇏđ݂߭ࢲݔཁൕđႮࠏܒሧᆀӻႵ֥ᅬđषൈࡗӉ֥ᅬၛࠣটሱഈݚ֥ᅬ֥ࢌၞြࠛ۷ᄥčࠧđᆃུᅬ֥ઙೆ֥ܢௐაછԛ֥ܢௐ֥൬ၭڵҵᆴቋնĎb֒ႨAgeэਈูߐInstitэਈൈđAgeэਈభ֥༢ඔіૼ୍֥ሧᆀ֥ࢌၞြࠛ۷ᄥbۚࢌၞᅬބটሱധᎪ֥ࢌၞᅬ֥ࢌၞြࠛാቋཬbႨ۷Ӊ֥௹ࡗ֥ࢲݔđೂBቆაCቆࣉ၂҄ᆣൌھؿགྷb ሸކطđૌ֥ࢲݔཁൕݓ֥ሧᆀ߶ٕࢌၞհ༂čіᇏ֥AቆĎbࣉ၂҄ࢃđં൞ૌ֥ֆэਈбࢠčіᇏ֥B-FቆĎߎ൞݂߭ࢲݔčіඹĎ఼ਛіૼđӮඃ֥ሧᆀაᇈାሧᆀбࢠఏটఃࢌၞथҦ҂߶ᅝႪb B.ሧᆀӮඃ؇აౠཟིႋ ০Ⴈૅݓሧᆀ֥ࢌၞᅬđOdean (1998a)іૼሧᆀ҂჻ၩӵಪാbᄝٯধđGrinblattބKeloharju (2001a)ؿགྷᅬ૫ാᄀնሧᆀࣼᄀ҂჻ၩછԛܢௐbૌ֥ඔऌၛࠣٚمაOdean֥ཌྷරb֒ܢௐၛሧЧ০֤൲ԛൈđOdean࠹ෘൌགྷ֥൬ၭᅝିܔൌགྷ֥ሹ൬ၭ֥бᇗbऎุࢃđ֒ܢௐၛሧЧ০֤൲ԛൈđOdeanοᅶ༯ਙ܄ൔ࠹ෘPGRğ ൌགྷ൬ၭൌགྷ൬ၭ֥бᇗ(PGR)= č2Ď ൌགྷ൬ၭ+ᅬ૫൬ၭაᆭোරđ֒ܢௐၛሧЧാ൲ԛൈđႨPLR࠹ෘൌགྷ֥ാᅝିܔൌགྷ֥ሹാ֥бᇗğ ൌགྷാൌགྷാ֥бᇗ(PLR)= č3Ď ൌགྷാ+ᅬ૫ാ 13
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ PGRཌྷؓPLR֥бᆴᄀնᄵіૼሧᆀᄀႵౠཟછԛ႓ࡅቆކط҂൞ൻࡅቆކbᆃᇕྛູაౠཟིႋཌྷ၂ᇁč(ShefrinބStatman (1985))b ૌ࠹ෘਔဢЧᇏૄ၂гࢌၞ֥PGRބPLRđѩࡼૌӯБᄝіᇏbఃᇏAቆБۡਔPGRބPLR֥नᆴၛࠣ෮Ⴕࢌၞ֥PGRބPLRᆭࡗ֥ҵᆴbՖAቆૌॖၛुԛđ֥PGRေб֥PLRնѩᆃ၂ҵᆴᄝ1%֥ඣ༯ཁᇷbᆃུࢲݔіૼݓ֥ሧᆀ҂჻ၩӵಪാbაᆭཌྷّđOdean(1998a)ؓૅݓሧᆀ֥࣮ࢲݔіૼđPGR֩ႿطPLR֩Ⴟؓݓሧᆀ֥ౠཟྟဒ֥бੱေૼཁۚႿૅݓሧᆀb҂ݖđૌᄝбࢠᇏૅᆭࡗҵၳൈༀсཬྏࣈരbݓ֥ܢௐ൧ӆഡ৫֥ൈࡗ҂ࣲđᆃၩሢݓᅬᇏ֥ໃൌགྷ֥൬ၭაാ෮ᅝ֥б২đࠧٳଛđॖିေбૅݓᅬᇏ֥ေཬbಯᆴ֤ᇿၩ֥൞đౠཟྟིႋᄝݓაૅݓႵཁགྷb <ՎԩҬೆі> ՖBቆ֞FቆБۡѩбࢠਔᄝૌࢌၞᅬᇏ҂ဢЧᆭࡗ֥ౠཟྟᆷѓbBቆϜᅬٳູ۱ದᅬაࠏܒᅬਆቆb۱ದሧᆀ֥PGRაPLRᆭࡗ֥ҵᆴູđᆃཁᇷۚႿࠏܒሧᆀ֥ھࢲݔіૼ۱ದሧᆀбࠏܒሧᆀ۷ॖିછԛ႓ࡅቆކطછԛൻࡅቆކ֥ॖିྟಏ۷֮bਆቆᆭࡗᄝPLRഈҵၳіૼᆃᇕҵၳটሱ۱ದ۷҂჻ၩӵಪാb Cቆбࢠਔਔषӑݖ3୍֥ࢌၞᅬაषഒႿ֩Ⴟ3୍֥ࢌၞᅬbषൈࡗ؋֥ᅬ֥PLRေۚ၂ུbᆃၩሢषൈࡗӉ֥ᅬ۷҂჻ၩӵಪാbDቆ൞οᅶሧᆀ୍ਭ߃ٳ֥ࢲݔbૌॖၛुԛđෛሢሧᆀ୍ਭ֥ᄹӉđૌᄀটᄀ҂჻ၩӵಪാbPGRაPLRᆭࡗ֥ҵᆴૼཁაሧᆀ୍֥ਭᆞཟཌྷܱb Eቆ߸Бਔοᅶᅬࢌၞࠃ߃ٳ֥ࢲݔbPGRაPLRᆭࡗ֥ҵᆴᄝ֮ࢌၞᅬᇏ 14
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ေۚ၂ུb҂ݖđۚᅬሱദ֥PLRေ֮၂ུbᆃіૼა֮ࢌၞᆀཌྷбđࢌၞᄀَ֥ሧᆀᄀ҂჻ၩӵಪാbᆃུࢲݔაOdean(1998a)֥࣮ཌྷ၂ᇁđOdeanБۡඪđૅݓۚࢌၞᆀ֥PLR֩Ⴟط֮ࢌၞᆀ֥PLR֩Ⴟ ቋުđFቆБۡਔοᅶᅬ෮ᄝֹ߃ٳ֥ࢲݔbૌՖPLR֥ඔᆴᇏᇿၩ֞đটሱഈݚ֥ሧᆀቋ҂჻ၩӵಪാbധᎪ֥PGRაPLRᆭࡗ֥ҵᆴቋնđݱՑᆭb ሹุطđૌؿགྷؓӮඃ؇ҩ؇֥ඹ۱ᆷѓა҂჻ၩӵಪാᆭࡗӯགྷᆞཌྷܱܱ༢bᆃၩሢđᄀӮඃ֥ሧᆀᄀӯགྷԛౠཟྟིႋbࠏܒሧᆀቔֻູ۱Ӯඃ؇ᆷѓაౠཟྟིႋܱ༢҂նbູࢳथ؟эਈིႋđૌܙ࠹ၛ༯݂߭ٚӱğ ၹэਈ = α + β(Instit or Age) + β(OpenTime) + β(HighTradeFreq) 123 + β(Shenzhen) + β(Shanghai), č4Ď 45ၹэਈࠇᆀ൞PGRčᄝіੂᇏ֥AቆБۡĎࠇᆀ൞PLRčᄝBቆБۡĎb <ՎԩҬೆіੂ> ᄝAቆၹэਈ൞ൌགྷ൬ၭ֥ౠཟčPGRĎđૌॖၛुԛࠏܒሧᆀđ୍Ӊ֥ሧᆀၛࠣധᎪ֥ሧᆀ۷ॖିൌགྷ൬ၭbᄝBቆᇏൌགྷാ֥ౠཟčPLRĎቓၹэਈđૌॖၛुԛ୍Ӊ֥ሧᆀđႵ۷؟ࣜဒčࢠӉ֥ष୍ඔაࢠ֥ۚࢌၞੱĎ֥ሧᆀၛࠣഈݚ֥ሧᆀቋ҂჻ၩӵಪാb ሹุطđૌॖၛु֞ݓ֥ሧᆀӯགྷԛౠཟིႋčіᇏ֥AቆĎbࠧđૌ۷჻ၩൌགྷ൬ၭط҂჻ၩӵಪാbૌ֥ֆэਈбࢠčіᇏ֥BᇀFቆĎა݂߭ࢲݔ(іੂ)іૼᄀӮඃ֥ሧᆀᄀಸၞԛགྷౠཟིႋb CēሧᆀӮඃ؇აݖ؇ሱྐ 15
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ݖ؇ሱྐ֥ሧᆀؓሱദ֥ᆩ്აሧି৯ಒྐ҂၍bᆃᇕݖ؇ሱྐ߶֝ᇁૌࢌၞݖႿَđӻႵٳ߄֥֮ሧቆކၛࠣӵքۚڄགčOdean (1998b)Ďbູਔҩ؇ࢌၞੱđૌᅶBarber ބ Odean (2001)֥ٚم࠹ෘૄ၂ᅬሧቆކ֥ᄅߐ൭ੱ֥नᆴbູਔဒٳ߄҂ܔ֥ሧቆކđૌБۡਔૄ၂۱ᅬ֥ӻႵܢௐඔ֥नᆴbቋުđૌ๙ݖૄ၂۱ᅬ֥Ȧ֥नᆴၛࠣ෮ӻႵܢௐ֥܄ඳ֥ܿଆनᆴটҩ؇ૄ໊ሧᆀ෮ӵ൳֥ڄགb ૌ္ҩ؇ૄ၂۱ᅬ֥൬ၭनᆴၛՑটіൕሧᆀቆކ֥ြࠛbູਔҩ؇൬ၭđૌႨૄ၂ᅬ֥ᄅԚඔऌѩՖCSMARඔऌ९ᇏࠆ౼ܢௐ֥ᄅ൬ၭbૌοᅶBarber ބ Odean (2000)֥ٚم࠹ෘሧቆކ൬ၭѩࡌഡ෮Ⴕ֥ࢌၞؿളᄝᄅଌ֥ቋު၂฿b၂j۱ᅬ֥ሧቆކ֥ᄅ൬ၭR οᅶၛ༯ٚم࠹ෘğ tjHtjjR=pR (5) t∑ititi=1jఃᇏđpսіֻt۱ᄅjᅬ෮ӻႵ֥Iܢௐ֥ᄅԚ൧ӆࡎᆴԢၛjᅬӻႵ֥෮Ⴕܢௐ֥itjᄅԚ൧ӆࡎᆴbR іൕiܢௐᄝtᄅ֥ᄅ൬ၭbHսіjᅬᄝtᄅӻႵ֥ܢௐඔb itt іᇏ֥AቆБۡਔૄ၂۱ᅬӻႵܢௐඔ֥नᆴaᄅߐ൭ੱ֥नᆴa෮ӻܢௐ֥Ȧ֥नᆴa෮ӻܢௐ܄ඳܿଆ֥नᆴၛࠣӻႵ֥ܢௐᄅ൬ၭ֥नᆴ֩bAቆᇏႵࠫׄᆴ֤ᇿၩbֻ၂đሹุটुݓሧᆀӻႵٳഒ֥ܢௐbनഈૌࣇࣇӻႵࡅ҂܄ඳ֥ܢௐbཌྷбࢠఏটđZhu (2002)֥࣮Бۡඪૅݓ۱ದሧᆀनӻႵ4ࡅ܄ඳ֥ܢௐbၹՎđनطݓሧᆀٳ߄ૼཁ҂ࠣૅݓሧᆀb <ՎԩҬೆі> ݓሧᆀ္ӯགྷԛࢌၞٳَ֥หׄbᄅߐ൭ੱղ֞%đࠇᆀඪ୍ߐ൭ੱղ 16
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ֞320%bႋ֒ᇿၩ֥֞൞đ֒ሧᆀᆺӻႵ2ᆺܢௐطૄ۱ᄅߐ൭ੱղ֞26%ൈᆃ֩Ⴟඪૄਆ۱ᄅࣼေࢌၞčછԛطުઙೆĎ၂ᆦܢௐbZhu (2002)֥࣮Бۡඪđૅݓሧᆀ֥ᄅߐ൭ੱູ%čࠇᆀ୍ߐ൭ੱ൞91%Ďbݓሧᆀ֥ࢌၞੱ൞ૅݓሧᆀ֥ඹПᆃ၂൙ൌुఏটٳ҂࿙ӈbᆃུᆌؓᇏૅᆭࡗ֥бࢠ္აAllen ֩(2002)֥ܴҳཌྷ၂ᇁbૌБۡඪđᄝ1999୍ݓਆ۱ࢌၞ෮֥ሹุߐ൭ੱčႨᅝሹ൧ᆴ֥ϤٳбটіൕĎۚղ500%bᆃ൞୧ჿࢌၞ෮୍֒%֥ߐ൭ੱ5П؟b౨ᇿၩđაૅݓ֥ሧᆀཌྷбđݓ֥ሧᆀᅚགྷԛ֮ٳۚࢌၞੱ֥หׄbೂݔૅݓ֥ሧᆀФಪູఃӮඃ؇ࢠ֥ۚ߅đᄵᆃၩሢӮඃ؇ॖၛࢆ֮ݖ؇ሱྐ֥ொҵb ૌؓڄགҩ؇֥ਆ۱ᆷѓđܢௐ֥नȦ൞ط܄ඳ֥नܿଆ൞ၡದлbቋުđૄ۱ᅬሹ൬ၭ֥नᆴູૄᄅ%b Bቆٳਔ۱ದሧᆀაࠏܒሧᆀbႮႿᄝૌ֥ඔऌ९ᇏ99%֥ඔऌ൞۱ದሧᆀᅬđၹՎҩ؇۱ದሧᆀ֥ᇭэਈ֥नᆴაᄝAቆᇏ֥ᆜุဢЧ֥नᆴٳࢤ࣍b҂ݖđૌಯିुԛࠏܒᅚགྷԛა۱ದ҂֥ྛູb൮༵đࠏܒሧᆀӻႵ֥ܢௐ۷؟čؓĎđߐ൭ੱ۷֮ѩ෮ӻܢௐ֥ڄག္֮čႨȦބ܄ඳܿଆটҩ؇Ďbᆃіૼᄀ֥ۚӮඃ؇ᄀିࢆ֮ሧᆀݖ؇ሱྐྛູ֥ౠཟb൞đࠏܒሧᆀ֥ᄅ൬ၭა۱ದሧᆀཌྷбѩൌᇉྟҵၳb ՖCቆᇏđૌॖၛुԛđषൈࡗࢠӉ֥ሧᆀٳ߄ӱ؇ႵაఃӻႵ֥ܢௐ؟čؓĎطັݺ၂ུbૌ္ିुԛđᆃུႵࣜဒ֥ሧᆀࢌၞ۷َູѩሧႿ൧ᆴཬ֥ܢௐbෙಖᆃུหׄॖିაݖ؇ሱྐႵܱđᆃུሧᆀॖିؓሱദ֥ሱྐႵః؎৯đၹູૌૄ۱ᄅ֥൬ၭनղ֞%đطପུषᄝ3୍ࠇᆀ3୍ၛ༯֥ᅬ֥ᄅ൬ၭੱࣇࣇູ%bॉ੮֞ᆃུбࢠđૌӵಪෙಖॖିթᄝളթொҵčіགྷ 17
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ҂ࡄ֥ሧᆀॖି߶ޓॹཧĎđᆃ္ॖିၩሢ҂؎࿐༝֥ሧᆀෛሢൈࡗ֥ੀ൜ሧ္ᄀটᄀݺb Dቆοᅶሧᆀ୍֥ਭቔਔ߃ٳbᄝՎđૌु୍֞Ӊ֥ሧᆀӻႵ֥ܢௐࢠ؟đࢌၞ҂ࠃᄁđѩӻႵ֮ڄག֥ܢௐb҂ݖđಏ൞ᇏ୍ቆ֥ሧ൬ၭቋۚđૄ۱ᄅղ%bቋ୍֥ሧᆀč18-28ෟĎᄅ൬ၭູ%đطቋ୍Ӊ֥ሧᆀč50-75ෟĎᄅ൬ၭູ%bᇏ୍ቆ֥ԛіགྷॖି݂ၹႿૌ֥ڄགӵ൳đၹູૌିु֞ૌӵ൳֥ڄགቋčۚࠧđཌྷؓႿఃቆ֥ሧᆀૌӻႵ֥ܢௐȦۚط൧ᆴཬĎb ᄝEቆᇏđૌБۡਔ֮ؓࢌၞᆀაۚࢌၞᆀ֥ܙ࠹bᇿၩđࢌၞࠃ҂ࠃᄁ֥ᅬनᆺӻႵࡅ܄ඳ֥ܢௐđطࢌၞࠃᄁ֥ᅬӻႵࡅ܄ඳ֥ܢௐb۴ऌഡ࠹ٳোॖᆩđ֮ࢌၞᅬ֥ᄅᇛሇੱ֮ႿۚᅬbۚࢌၞᅬनطӻႵࢠۚڄག֥ܢௐđᆃุགྷᄝܢௐ֥ۚȦა֮൧ᆴഈbቋުđۚࢌၞᅬ֥൬ၭ္ۚႿ֮ᅬđٳљູ%ა%b ቔູіᇏ֥ቋު၂ቆđFቆӯБ֥൞οሧᅬ෮ᄝֹٳো֥ܙ࠹bૌॖၛुԛđ໊Ⴟഈݚ֥ᅬაఃֹ֥ᅬбఏটđٳྟࢠݺđࢌၞੱࢠ֮bѩധᎪაഈݚ֥ᅬऎႵཌྷؓཬ֥ڄགВb ᄝࢳᆃུࢌၞࠃაڄགӵ൳֥ൈީđޓᇗေ֥၂ׄ൞Ⴈሧቆކটࢳb২ೂđۚڄག֥ሧቆކࠆ֤֥ۚ൬ၭၩሢࡥֆ֥ڄག/൬ၭഈ֥ಃޙđطѩ҂၂קၩሢݖ؇ሱྐbაᆭোරđೂݔሧᆀࠆ౼ਔۚ߭Бđପહࠃᄁ֥ࢌၞࠃॖିၩሢሧᆀႚႵྐ༏bၹՎđૌϜࠃᄁ֥ࢌၞaۚڄགa֮ٳၛ֮ࠣሧ൬ၭቔູݖ؇ሱྐ֥ᆷѓb ႵਔᆃҪࢳđؓݖ؇ሱྐ֥ဒॖၛࢣൕԛၛ༯൙ൌbοᅶ۱ದሧᆀაࠏܒሧᆀؓӮඃ؇ቔ߃ٳđ۱ದ߶ཁൕԛ۷֥ۚݖ؇ሱྐౠཟčࠧđ֮ٳ߄aࠃᄁ֥ࢌၞၛࠣ 18
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ϜሱദᇂႿۚڄགᆭᇏĎđ൞ᄝ൬ၭഈಏაࠏܒሧᆀཁᇷҵၳbၹՎđᆃᆺିັֹᆣൌӮඃ؇߶ࢆ֮ݖ؇ሱྐbೂݔႨࣜဒčႨष୍ཋaሧᆀ୍ਭၛࠣࢌၞੱĎቔູሧᆀӮඃ؇֥іൕਈđᄵࢲݔᄝ၂קӱ؇ഈݣ҂ౢbପུषൈࡗࢠӉ֥ሧᆀࠇᆀࢌၞࢠَູ֥ሧᆀཁൕԛݖ؇ሱྐ֥หׄđ൞္ࠆ౼ਔۚ൬ၭbၹՎđૌႵႮݖ؇ሱྐđط൙ൌഈѩ҂၂ק൞ݖ؇ሱྐb୍֥ሧᆀཁགྷԛݖ؇ሱྐ֥หׄč֮ٳ߄aَࢌၞၛࠣӻႵۚڄགܢௐĎѩࠆ౼֥൬ၭ္֮bၹՎđೂݔሧᆀ୍ਭିቔູሧᆀӮඃ؇֥іൕਈđପહӮඃିࢆ֮ݖ؇ሱྐ֥ౠཟbሸކطđሧᆀࣜဒᄝӮඃିߏࢳݖ؇ሱྐഈ֥ᆣऌ൞ݣ҂ౢ֥bቋުđೂݔૌႨᅬ෮ᄝֹቔູሧᆀӮඃ֥іൕਈđପહૌؿགྷᄀ҂Ӯඃ֥ሧᆀᄀႵݖ؇ሱྐ֥ౠཟѩ൬ၭੱ္֮bሸഈ෮ඍđ҂ౢ֥ࢲݔᆺିิ܂ݣ֥ᆣऌіૼӮඃିࢆ֮ݖ؇ሱྐ֥ྛູொҵb ඹ.ࢲં ૌ࣮ਔሧᆀӮඃ൞ೂޅ႕ཙሧྛູაࢌၞြ֥ࠛbቋ֥࣮࣍ؿགྷ۱ದሧᆀ൞٤ྟ֥čࠧđૌౠཟႿԛགྷྛູொҵĎѩ߶ٕࢌၞհ༂bಖطđཌྷؓӮඃ֥ሧᆀč২ೂđପུ۷ऎሧࣜဒ֥ሧᆀĎ൞۷ౠཟႿߎ൞ࢠഒ֥ౠཟႿԛགྷྛູொҵაٕࢌၞհ༂Ĥູਔࢳथᆃ၂໙ีđૌႨਔটሱݓ֥ࢌၞᅬ֥ඔऌbႮႿݓ֥ܢௐ൧ӆᆺႵჅ୍֥ൎđၹՎؓն؟ඔݓሧᆀطሧ֥ۀა܄܋෮Ⴕಃ൞ཌྷؓྍ႖֥b෮ၛđݓ֥ሧᆀაఃሧЧᇶၬݓࡅ֥ሧᆀཌྷбᄝሧഈ߶ཁ֤۷҂Ӯඃbሸކطđૌؿགྷݓ֥ሧᆀ߶ٕࢌၞհ༂čࠧđૌછԛ֥ܢௐ֥іགྷေႪႿઙࣉ֥ܢௐ֥іགྷĎđ҂჻ၩӵಪാčࠧđૌ߶ູౠཟིႋ෮ĎѩౠཟႿoݖ؇ሱྐpčࠧđૌ֥ٳ߄ࢠ֮ѩࢌၞَĎbၹՎđ҂Ӯඃ֥ሧᆀčݓ֥ሧᆀĎु 19
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ර߶აӮඃ֥ሧᆀč২ೂđૅݓ֥ሧᆀĎ၂ဢԛགྷྛູொҵѩٕࢌၞհ༂b ૌ္ؓࢠູӮඃ֥ሧᆀა҂Ӯඃ֥ሧᆀቔਔбࢠbᆃུбࢠྟဒॖି۷ູॖौაႵ׳ҳ৯đၹູᆃ൞ᄝဢЧࡗቔ֥бࢠbૌႨਔ۱ؓሧᆀӮඃ֥іൕਈđѩಪູč1Ďࠏܒሧᆀđč2Ďၘࣜࠒఏ၂קሧࣜဒ֥ሧᆀđč3Ď୍Ӊ֥ሧᆀđč4Ďࠃᄁ֥ሧᆀၛࠣč5Ďটሱݓն൧֥ሧᆀᄝሧഈॖିбఃሧᆀ۷Ӯඃb ᆜุഈđૌؿགྷႵޓ఼֥ᆣऌіૼᄀӮඃ֥ሧᆀᄀಸၞٕࢌၞհ༂ѩ൳֞ౠཟིႋ֥႕ཙbૌᆺିิ܂ࠁކ֥ᆣऌᆣൌӮඃିܔࢆ֮ݖ؇ሱྐbࠎႿЧ໓֥ࢲݔđૌ֥ࢲં൞ሧᆀӮඃѩ҂၂קିࢆ֮ྛູொҵ္҂၂קିิۚࢌၞіགྷb ѩ҂ౢԣӮඃ؇֥ิۚ൞ڎି֩ӱ؇֥႕ཙ෮Ⴕো֥ྛູொҵb൙ൌഈđ࠻ಖಪᆩհ༂֥টჷ҂đӮඃؓૌ֥႕ཙ္ॖି҂၂ဢbૌ࣮ਔਆᇕྛູொҵğݖ؇ሱྐაౠཟིႋbHirshleifer (2001) Ϝౠཟིႋູ݂؎ࡥֆ߄֥၂ᇕࢲݔbࡥֆֹࢃđಪᆩሧჷഈ֥ཋᇅ߶௧նଷཤࡨگᄖ֥ٳ༅bՎຓđHirshleiferϜݖ؇ሱྐູ݂ሱ௺ௌ֥ࢲݔbቔູሱಖ࿊ᄴ֥ުݔᆭ၂đ۱ದౠཟႿಪູሱ࠭бૌൌ࠽ഈ֥۷Ⴊྮ(Trivers (1991))bᆃᇕሱ௺ௌ߶ϺᇹૌჃ୫ದbෙಖૌᄝࢌၞြࠛაౠཟིႋഈ֥ᆣऌіૼࢠ֥ۚӮඃ؇߶ࡆखᆃུ໙ีđᄝݖ؇ሱྐഈ֥ဒૌ֥ᆣऌ൞ݣࠁ֥bૌಪູሧᆀӮඃؓૄ၂ᇕো֥ಪᆩհ༂֥႕ཙ൞҂၂ဢ֥bᄝᆃ၂ਵთ֥ࣉ၂࣮҄ॖି߶ණݔb ҕॉ໓ང Allen, Franklin, Jun Qian, and Meijun Qian, 2002, Law, finance, and economic growth in China, Wharton School working paper, December 23. Banerjee, A., 1992, A simple model of herd behavior, Quarterly Journal of Economics 107, 797-817. Barber, Brad M. and Terrance Odean, 2000, Trading is hazardous to your wealth: The common stock investment performance of individual investors, Journal of Finance 55, 773-806. 20
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ Barber, Brad M. and Terrance Odean, 2001, Boys will be boys: Gender, overconfidence, and common stock investment, Quarterly Journal of Economics 116, 261-292. Barber, Brad M. and Terrance Odean, 2002, Online investors: Do the slow die first?, Review of Financial Studies 15(2), 455-487. Benos, A., 1998, Aggressiveness and survival of overconfident traders, Journal of Financial Markets 1, 353-383. Blume, Lawrence, and David Easley, 1982, Learning to be rational, Journal of Economic Theory, 26, 340-351. Blume, Lawrence, and David Easley, 1992, Evolution and market behavior, Journal of Economic Theory, 58, 9-40. Camerer, C. F., E. J. Johnson, 1997, The process-performance paradox in expert judgment: How can experts know so much and predict so badly?. In W. M. Goldstein and R. M. Hogarth (Eds.), Research on judgment and decision making. Cambridge: Cambridge University Press, 342-364. Christoffersen, Susan, and Sergei Sarkissian, 2002, Location overconfidence, McGill University working paper, September. Coval, Joshua D., and Tobias J. Moskowitz, 1999, Home bias at home: Local equity preference in domestic portfolios, Journal of Finance 54, 2045 - 2073. Coval, Joshua D., and Tyler Shumway, 2002, Do behavioral biases affect prices?, Harvard University working paper, September. De Long, Andrei Shleifer, Lawrence H. Summers, and Robert J. Waldmann, 1990, Noise trader risk in financial markets, Journal of Political Economy 98, 703-738. Dhar, Ravi, and Ning Zhu, 2002, Up close and personal: An individual level analysis of the disposition effect, Yale ICF Working Paper No. 02-20, August. Gervais, Simon and Terrance Odean, 2001, Learning to be overconfident, Review of Financial Studies 14, 1-27. Griffin, Dale, and Amos Tversky, 1992, The weighing of evidence and the determinants of confidence, Cognitive Psychology, 24, 411-435. Grinblatt, M., and M. Keloharju, 2000, “The investment behavior and performance of various investor types: A study of Finland’s unique data set,” Journal of Financial Economics 55, 43-67. Grinblatt, M., and M. Keloharju, 2001a, “What makes investors trade?,” Journal of Finance 56, 589-616. Grinblatt, M., and M. Keloharju, 2001b, “How distance, language, and culture influence stockholdings and trades” Journal of Finance 56, 1053-1074. Hirshleifer, David, 2001, Investor psychology and asset pricing. Journal of Finance, 56(4), 1533-1597. Hirshleifer, D., A. Subrahmanyam, and S. Titman, 1994, Security analysis and trading patterns when some investors receive information before others, Journal of Finance 49, 1665-1698. 21
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ Kyle, A., and F. A. Wang, 1997, Speculation duopoly with agreement to disagree: Can overconfidence survive the market test?, Journal of Finance 52, 2073-2090. Lee, Charles ., Andrei Shleifer, and Richard H. Thaler, 1991, Investor sentiment and the closed-end fund puzzle, Journal of Finance 46, 75-109. List, John A., 2003, Does market experience eliminate market anomalies?, Quarterly Journal of Economics, February, 41-71. Odean, Terrance, 1998a, Are investors reluctant to realize their losses?, Journal of Finance, 53, 1775-1798. Odean, Terrance, 1998b, Volume, volatility, price, and profit when all traders are above average, Journal of Finance, 53, 1887-1934. Odean, Terrance, 1999, Do investors trade too much?, American Economics Review, 89(5), 1279-1298. Shapira, Zur, and Itzhak Venezia, 2001, Patterns of behavior of professionally managed and independent investors, Journal of Banking and Finance, 25(8), 1573-1587. Shefrin, Hersh, and Meir Statman, 1985, The disposition to sell winners too early and ride losers too long: Theory and evidence, Journal of Finance, 40, 777-790. Shiller, Robert, 1984, Stock prices and social dynamics, Brookings Papers on Economic Activity 2, 457-510. Shleifer, Andrei and Lawrence H. Summers, 1990, The noise trader approach to finance, Journal of Economic Perspectives 4, 19-33. Thaler, Richard, 1980, Toward a positive theory of consumer choice, Journal of Economic Behavior and Organization, 1, 39-60. Trivers, R., 1991, Deceit and self-deception, in R. Robinson, and L. Tiger, eds.: Man and Beast Revisited, Smithsonian Press, Washington DC. Wang, F. A., 1998, Strategic trading, asymmetric information and heterogeneous prior beliefs, Journal of Financial Markets 1, 321-352. Wang, F. A., 2001, Overconfidence, investor sentiment, and evolution, Journal of Financial Intermediation 10, 138-170. Wolosin, Robert J., Steven J. Sherman, and Amnon Till, 1973, Effects of cooperation and competition on responsibility attribution after success and failure, Journal of Experimental Social Psychology 9, 220-235. Zhu, Ning, 2002, The local bias of individual investors, Yale ICF working paper No. 02-30, October. 22
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ і၂. ؓࢌၞᅬ֥૭ඍྟ࠹ Чіؓ1998୍5ᄅ20ರᇀ2002୍9ᄅ3ರ66,981۱ࢌၞᅬቓਔ֥૭ඍྟ࠹bൈؓඔऌٳљοᅶሧᆀ֥োčࠏܒሧᆀߎ൞۱ದሧᆀĎđᅬषഡൈࡗ֥Ӊ؇č≤ 3୍ߎ൞>3୍Ďđሧᆀ୍֥ਭđࢌၞࠃčۚࢌၞᆀ൞ᆷପུࢌၞࠃ໊ंဢЧభ10%֥ࢌၞᆀĎၛࠣᅬ෮ᄝ֥Ӭ൧ቔਔ߃ٳb ᅬඔ ᅬࡎᆴ֥ ᅬषഡൈࡗӉ؇֥नᆴ नᆴ ෮Ⴕᅬ66981 οᅶሧᆀোٳোğ 66736 ۱ದሧᆀ ࠏܒሧᆀ245757633 οᅶᅬ୍ਭٳোğ षഡ≤ 3 ୍50243 167381 3୍ षഡ> οᅶሧᆀ୍ਭٳোğ 04 18-28 ෟ56 29-49 ෟ4336 3282 50-75 ෟ οᅶࢌၞࠃٳোğ 325 147892 2 ֮ࢌၞ ۚࢌၞ οᅶӬ൧ٳোğ 5827 ݱ ྍࡿ 03 ڞโ(ധᎪ88) ഘ१211671(ധᎪ) ഈݚ10136 ௵ת(ഈݚ) 23
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ іؽ. ؓࢌၞ֥૭ඍྟ࠹ Чіؓ1998୍5ᄅ20ರᇀ2002୍9ᄅ3ರ66,981۱ᇏݓࢌၞᅬ֥ࢌၞࠃቓਔ૭ඍྟ࠹bࡎ֥۬ֆ໊൞ದлđࢌၞਈ֥ֆ໊൞ܢٺඔbൈؓඔऌٳљοᅶሧᆀ֥োčࠏܒሧᆀߎ൞۱ದሧᆀĎđᅬषഡൈࡗ֥Ӊ؇č≤ 3୍ߎ൞>3୍Ďđሧᆀ୍֥ਭđࢌၞࠃčۚࢌၞᆀ൞ᆷପུࢌၞࠃ໊ंဢЧభ10%֥ࢌၞᆀĎၛࠣᅬ෮ᄝ֥Ӭ൧ቔਔ߃ٳb ܓઙՑඔ ൲ԛՑඔ ࢌၞࡎ֥۬नᆴ ࢌၞਈ֥नᆴ ෮Ⴕᅬ740589 672100 οᅶሧᆀোٳোğ ۱ದሧᆀ733926 663804 ࠏܒሧᆀ οᅶᅬ୍ਭٳোğ षഡ345778 301577 ≤ 3 ୍ षഡ> 3 ୍ οᅶሧᆀ୍ਭٳোğ 742 70897 18-28 ෟ80 29-49 ෟ4 50-75 ෟ43589 39676 οᅶࢌၞࠃٳোğ 325430 ֮ࢌၞ374130 ۚࢌၞ οᅶӬ൧ٳোğ 5510 123860 ݱ13 ྍࡿ 83110 ڞโ(ധᎪ88215) ഘ१(ധᎪ) 883 115591 ഈݚ127 ௵ת(ഈݚ126) 24
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ і. ࢌၞြࠛ Чіؓ1998୍5ᄅ20ರᇀ2002୍9ᄅ3ರ66,981۱ᇏݓࢌၞᅬ֥ܢௐࢌၞ֥൬ၭඔऌቓਔ૭ඍྟ࠹bሧᆀઙࣉაછԛ֥ܢௐު࿃ൈࡗ֥൬ၭٳљοᅶඹ۱ᄅčࠧđ84۱ࢌၞರĎa၂୍čࠧđ252۱ࢌၞರĎބਆ୍čࠧđ504۱ࢌၞರĎট࠹ෘbᄝБۡဢЧ֥ࢲݔൈđૌБۡਔઙೆ֥ܢௐაછԛ֥ܢௐ֥൬ၭҵᆴđ൬ၭҵᆴčઙ-છĎٳљοᅶሧᆀ֥োčࠏܒሧᆀߎ൞۱ದሧᆀĎđᅬषഡൈࡗ֥Ӊ؇č≤ 3୍ߎ൞>3୍Ďđሧᆀ୍֥ਭđࢌၞࠃčۚࢌၞᆀ൞ᆷପུࢌၞࠃ໊ंဢЧభ10%֥ࢌၞᆀĎၛࠣᅬ෮ᄝ֥Ӭ൧ቔਔ߃ٳbFဒᆷԛਔᆃུဢЧҵၳ൞ڎᄝ࠹ഈཁᇷb***ၩᆷᄝ1%֥ඣཁᇷb ᆜุ൬ၭ ඹ۱ᄅު ਆ୍ު ၂୍ު Aቆğ෮Ⴕ֥ࢌၞ ઙೆ છԛ ҵᆴ ()*** ()*** ()*** Bቆğ۱ದሧᆀაࠏܒሧᆀ֥бࢠ ۱ದ ()*** ()*** ()*** ઙ-છ ࠏܒ ()*** ()*** ()*** ઙ-છ Fဒ****** Cቆğषഡ≤ 3୍֥ᅬაषഡ۷Ӊൈࡗ֥ᅬ֥бࢠ ष ≤ 3 ୍7 ()*** ()*** ()** ઙ-છ ष > 3 ୍ ()*** ()*** ()*** ઙ-છ Fဒ********* 25
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ Dቆğሧᆀ୍ਭ 18-28 ෟ ()*** ()*** ()*** ઙ-છ 29-49 ෟ ()*** ()*** ()*** ઙ-છ 0 50-75 ෟ ()*** ()*** ()*** ઙ-છ Fဒ********* Eቆğ֮ࢌၞაۚࢌၞ֥бࢠ ֮ ()*** ()*** ()*** ઙ-છ ۚ ()*** ()*** ()* ઙ-છ Fဒ***** FቆğοᅶӬ൧߃ٳ ݱ ()*** ()*** ()*** ઙ-છ ྍࡿ ()*** ()*** ()*** ઙ-છ ڞโ (ധᎪ) ()*** ()*** ()*** ઙ-છ ഘ१-(ധᎪ ) ()*** ()*** ()*** ઙ-છ ഈݚ ()*** ()*** ()*** ઙ-છ ௵ת (ഈݚ ) ()*** ()*** ()*** ઙ-છ Fဒ********* 26
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ іඹ. ؓࢌၞြ֥݂ࠛ߭ࢲݔ ЧіБۡਔၛ༯݂߭ଆ֥ҕඔ༢ඔğ ઙ-છ = α + β(Instit or Age) + β(OpenTime) + β(HighTradeFreq) + β(Shenzhen) + β(Shanghai), 12345 ఃᇏઙčછĎսі66,981۱ᇏݓࢌၞᅬ֥ሧᆀઙೆčછԛĎܢௐ֥ު࿃൬ၭđ௹ࡗູ1998୍5ᄅ20ರᇀ2002୍9ᄅ3ರbሧᆀઙࣉაછԛ֥ܢௐު࿃ൈࡗ֥൬ၭٳљοᅶඹ۱ᄅčࠧđ84۱ࢌၞರĎa၂୍čࠧđ252۱ࢌၞರĎބਆ୍čࠧđ504۱ࢌၞರĎট࠹ෘbၹэਈٳљ൞ඹ۱ᄅčAቆĎđ၂୍čBቆĎđਆ୍čCቆĎઙೆ൬ၭაછԛ൬ၭ֥ҵᆴb Instit ൞၂۱эਈđೂݔᅬඋႿࠏܒሧč۱ದሧᆀĎᄵInstit֩Ⴟ1č0ĎbAge սі۱ದሧᆀ୍֥ਭđOpenTime іൕᅬषഡ୍֥ඔđHighTradeFreq ൞ਸ਼၂۱эਈđၛіൕ൞ڎᅬ֥ࢌၞࠃ໊ंభ10%đ Shenzhen ބShanghai ູэਈႨၛіൕ൞ڎᅬ໊Ⴟᆃਆ۱Ӭ൧bႮႿᆺႵ۱ದሧᆀऎႵ୍ਭྐ༏đၹՎૌϜInstitބAge ٳषٳљቔ݂߭bওݼᇏ൞tဒᆴb***đ**đބ * ٳљіൕᄝ1%a5%ބ10%֥ඣཁᇷb ࢩएInstitAge Account Open High Trading Shenzhen Shanghai Aቆğඹ۱ᄅ֥൬ၭቓၹэਈ ()***()***()***()***()**()*** ()***()**()***()***()()***Bቆğ၂୍֥൬ၭቓၹэਈ ()***()**()***()***()***()*** ()***()***()***()***()()*** Cቆğਆ୍֥൬ၭቓၹэਈ ()***()()***()()()*** 27
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ ()*** ()*** ()*** ()* ()*** ()*** 28
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ і. ౠཟིႋ ЧіБۡਔ66,981۱ᇏݓࢌၞᅬᄝ1998୍5ᄅ20ರᇀ2002୍9ᄅ3ರ֥ܢௐࢌၞᇏൌགྷ֥൬ၭބൌགྷ֥ാб২֥नᆴbPGRսіൌགྷ֥൬ၭؓൌགྷ൬ၭބᅬ૫൬ၭᆭބ֥бᆴbPLRսіൌགྷ֥ാؓൌགྷാބᅬ૫ാᆭބ֥бᆴbᄝቋު၂ਙᇏđૌБۡਔPGR აPLRᆭࡗ֥ҵᆴđൈႨtဒটဒ൞ڎᄝ࠹ഈཁᇷbPGRބPLR֥नᆴ࠹္ٳљοᅶሧᆀ֥োčࠏܒሧᆀߎ൞۱ದሧᆀĎđᅬषഡൈࡗ֥Ӊ؇č≤ 3୍ߎ൞>3୍Ďđሧᆀ୍֥ਭđࢌၞࠃčۚࢌၞᆀ൞ᆷପུࢌၞࠃ໊ंဢЧభ10%֥ࢌၞᆀĎၛࠣᅬ෮ᄝ֥Ӭ൧ቔਔ߃ٳbFဒᆷԛਔᆃུဢЧҵၳ൞ڎᄝ࠹ഈཁᇷb***ၩᆷᄝ1%֥ඣཁᇷb PGR PLR Difference (t-stat) Aቆğ෮Ⴕ֥ࢌၞ ෮Ⴕᅬ () *** Bቆğ۱ದሧᆀაࠏܒሧᆀ֥бࢠ ۱ದ ()*** ࠏܒ()*** 04 ဒ0.*** *** Cቆğषഡ≤ 3୍֥ᅬაषഡ۷Ӊൈࡗ֥ᅬ֥бࢠ ष455 ()*** < 3୍ ष ≥ 3 ୍()*** *** Fဒ*** ** Dቆğሧᆀ୍ਭ .5979 () *** 18-28 ෟ0 84 () *** ෟ-49 50-75 ෟ () *** Fဒ********* Eቆğ֮ࢌၞაۚࢌၞ֥бࢠ ֮ࢌၞ () *** ۚࢌၞ () *** Fဒ********* 29
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ FቆğοᅶӬ൧߃ٳ ݱ () *** ྍࡿ () *** ڞโ(ധᎪ () *** ) ഘ१ (ധᎪ () *** ) ഈݚ () *** ௵ת 0. (ഈݚ1681 () *** ) Fဒ********* 30
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ іੂ. ؓౠཟིႋ֥݂߭ࢲݔ ЧіБۡਔၛ༯݂߭ଆ֥ҕඔ༢ඔğ PGR (ࠇPLR) = α + β(Instit or Age) + β(OpenTime) + β(HighTradeFreq) + β(Shenzhen) + β(Shanghai), 12345 ఃᇏPGRսі66,981۱ᇏݓࢌၞᅬᄝ1998୍5ᄅ20ರᇀ2002୍9ᄅ3ರ֥ܢௐࢌၞᇏൌགྷ֥൬ၭؓൌགྷ൬ၭބᅬ૫൬ၭᆭބ֥бᆴđPLRᄵսіൌགྷ֥ാؓൌགྷാބᅬ૫ാᆭބ֥бᆴbInstit ൞၂۱эਈđೂݔᅬඋႿࠏܒሧč۱ದሧᆀĎᄵInstit֩Ⴟ1č0ĎbAge սі۱ದሧᆀ୍֥ਭđOpenTime іൕᅬषഡ୍֥ඔđHighTradeFreq ൞ਸ਼၂۱эਈđၛіൕ൞ڎᅬ֥ࢌၞࠃ໊ंభ10%đ Shenzhen ބShanghai ູэਈႨၛіൕ൞ڎᅬ໊Ⴟᆃਆ۱Ӭ൧bႮႿᆺႵ۱ದሧᆀऎႵ୍ਭྐ༏đၹՎૌϜInstitބAge ٳषٳљቔ݂߭bওݼᇏ൞tဒᆴb***đ**đބ * ٳљіൕᄝ1%a5%ބ10%֥ඣཁᇷb ࢩएInstitAge Account Open High Trading Shenzhen Shanghai AቆğPGRቓၹэਈ ()***()**()***()***()***()*** ()***()*()***()***()***()***Bቆ: PLRቓၹэਈ ()***()***()***()***()***()*** ()***()***()***()***()***()*** 31
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ і. ݖ؇ሱྐ Чіؓ1998୍5ᄅ20ರᇀ2002୍9ᄅ3ರ66,981۱ᇏݓࢌၞᅬቓਔ֥૭ඍྟ࠹bૌБۡਔૄ၂۱ᅬ෮ӻܢඔ֥नᆴđᄅߐ൭ੱ֥नᆴđȦ֥नᆴđᅬᇏ෮ӻܢௐ֥܄ඳ֥ܿଆčֆ໊൞ϤຣჭದлĎ֥नᆴၛࠣᅬᄅ൬ၭ֥नᆴbඔऌ္ٳљοᅶሧᆀ֥োčࠏܒሧᆀߎ൞۱ದሧᆀĎđᅬषഡൈࡗ֥Ӊ؇č≤ 3୍ߎ൞>3୍Ďđሧᆀ୍֥ਭđࢌၞࠃčۚࢌၞᆀ൞ᆷପུࢌၞࠃ໊ंဢЧభ10%֥ࢌၞᆀĎၛࠣᅬ෮ᄝ֥Ӭ൧ቔਔ߃ٳbFဒᆷԛਔᆃུဢЧҵၳ൞ڎᄝ࠹ഈཁᇷb***ၩᆷᄝ1%֥ඣཁᇷb Mean Mean # of Monthly Mean Size of Monthly Stocks Owned Turnover Beta Firms Return Aቆğ෮Ⴕ֥ࢌၞ ෮Ⴕᅬ Bቆğ۱ದሧᆀაࠏܒሧᆀ֥бࢠ ۱ದ ࠏܒ 350******17Fဒ0****** Cቆğषഡ≤ 3୍֥ᅬაषഡ۷Ӊൈࡗ֥ᅬ֥бࢠ ष.030 ≤ 3 ୍2 ष.375 > 3 ୍2 Fဒ2813***6453******1291*** Dቆğሧᆀ୍ਭ 18-28 ෟ 29-49 ෟ -75 ෟ 1 Fဒ1329*** *** *** *** *** Eቆğ֮ࢌၞაۚࢌၞ֥бࢠ ֮ࢌၞ ۚࢌၞ 56268**Fဒ*3941******255***759*** 32
ʕ㵤ҳ资٫č۱ದ/ࠏܒĎ行为ʱؓ FቆğοᅶӬ൧߃ٳ ݱ ྍࡿ ڞโ(ധᎪ5 ) ഘ१(ധᎪ ) ഈݚ ௵ת (ഈݚ ) Fဒ969*** *** *** 185*** *** 33
