개인투자자의 투자성향효과의 검증 = An Empirical Test of the Disposition Effect of Individual Investors

국문 초록 (Abstract)

본 연구의 목적은 이익이 난 주식은 서둘러 매도하고 손실이 난 주식은 오래 보유하는 성향인 투자성향효과를 검증하는데 있다. 이를 위해 개인 투자자 개개인의 거래내역을 분석하였다. 분석대상 투자자들은 강한 투자성향효과를 보였으며, 손실주의 실현에 비해 2.2배나 강한 이익주 실현을 선호하는 성향을 나타냈다. 개인적 특성에 따라 투자성향효과에 차이가 있는지를 검증한 결과 투자규모가 클수록, 투자능력이 높을수록 투자성향효과가 약하게 나타났다. 성별차이의 분석에서는 여성이 남성보다 투자성향효과가 강하게 나타났는데 이는 여성이 이익주를 남성보다 더 빨리 매도하기 때문이 아니라 손실주의 매도를 회피하기 때문에 나타난 현상이다. 즉, 여성의 손실실현회피성향이 남성보다 강하기 때문이다. 특히, 선행연구의 결과와는 달리 투자자들의 이런 성향이 투자자의 선호가 아니라, 평균회귀에 대한 믿음과 같이 투자자들이 믿음을 형성할 때 발생하는 심리적 오류에서 비롯되었음을 사후적 초과수익률 분석에서 확인하였다.

다국어 초록 (Multilingual Abstract)

The objective of this paper is to test the disposition effect, the tendency to sell winners too early and ride losers too long. We analyze trade records of 7,325 accounts of individual investors. These investors exhibit a strong tendency to realize winners rather than losers. We test if the disposition effect varies on individual characteristics, and find evidence that wealthier and more competent investors exhibit less disposition effect. Women are found more prone to the disposition effect than men due to greater loss aversion. Contrary to earlier research, excess returns following the sale of winners were found smaller than those of paper losers, which implies the disposition effect is motivated by investors' beliefs in mean reversion or trading on information, rather than investors' preferences.

목차 (Table of Contents)

• <요약>
• Ⅰ. 서론
• Ⅱ. 관련 문헌 고찰
• Ⅲ. 자료와 연구방법
• Ⅳ. 연구 결과
• Ⅴ. 투자자 선호 또는 투자자 믿음에 대한 검증
• Ⅵ. 요약 및 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

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