손익분기점 상황에서 개인투자자들의 비대칭적 매도성향 = Individual Investor's Disposition Effect of Breakeven Point State

다국어 초록 (Multilingual Abstract)

Previous studies in behavioral finance have documented the existence of the disposition effect in laboratory experiments, real world environments, and various countries. The disposition effect refers to the tendency to sell stocks that have appreciated in price, winners, and the reluctance to sell those that have depreciated below their purchase price, losers.
The purpose of this study is to examine whether such an asymmetric investor behavior also exists in the Korean stock market and to extend the existing literature by distinguishing the competing explanations of such an behavior in sales decisions. While the question of whether there is a disposition effect has been settled, the question of why there is such an effect in the first place has been neglected in prior studies. Understanding what derives the disposition effect might help us understand better individual investors' decision making processes of stock sales. The existing literature attributes the disposition effect to mean reversion or loss aversion, but it fails to distinguish explanatory powers between them.
An explanation for the disposition effect is loss aversion which is based on the prospect theory’s asymmetric value function. Loss aversion is one of the most important implications of the prospect theory. Loss aversion posits that investors have the tendency to seek risk when faced with possible losses, and to avoid risk when a certain gain is possible. Such an asymmetric value function around a reference point induces investors not to sell losing stocks. Empirical evidence shows that investors do indeed hold on to losers and sell winners.
Our main objective is to identify disposition effect to breakeven point position of individual investor in a point of view return rates. Previous studies explore individual investor's disposition effect according to gain or loss position of entire market stocks. But breakeven point position neither gain or loss position examine individual investor's disposition effect.
The data used in our research contains trading records of 10,000 individual investors randomly selected from a medium-sized discount brokerage firm between 2001 and 2003. Our result confirms that individual investors in the Korean stock market are subject to the disposition effect.
The state of breakeven point shows disposition effect. The result is sell stocks that have appreciated in price, winners, and the reluctance to sell those that have depreciated below their purchase price, losers.
Analysis of individual differences shows mixed results. Consistent with our prediction, investors who hold stocks relatively longer show less disposition effect. This implies that the disposition bias ameliorates over time. In other individual characteristics, however, we find no significant relationships or the opposite results to what we predicted. Trading frequency as a proxy of trading experience and online vs. offline variable provide no statistically significant explanatory powers for the disposition bias. Traders with larger investment tend to show more pronounced disposition effect.

목차 (Table of Contents)

• Ⅰ. 서론 = 1
• Ⅱ. 이론적 배경 및 선행연구 = 5
• 1. 프로스펙트 이론(Prospect Theory) = 5
• 2. 비대칭적 매도성향(disposition effect)의 선행연구 = 11
• 3. 비대칭적 매도성향(disposition effect)의 정의 및 측정방법 = 16
• Ⅲ. 연구가설 = 20
• Ⅳ. 연구결과 = 25
• 1. 개인투자자의 인적통계 = 25
• 2. 개인투자자의 보유기간, 투자자금, 거래빈도 = 26
• 3. 손익분기점(breakeven point)상황에서의 평균보유기간의 비교 = 26
• 4. 손익분기점(breakeven point)상황에서의 PGR과 PLR의 비교 = 28
• Ⅴ. 결론 = 29
• 참고문헌 = 31