دانش سرمایه‌گذاری

دانش سرمایه‌گذاری

بررسی ارتباط خصوصیات سرمایه گذاران و ضریب زیان گریزی آن ها در بورس اوراق بهادار تهران

نوع مقاله : مقاله پژوهشی

نویسندگان
محمد حسن ابراهیمی سروعلیا 1
محمد جواد سلیمی 2
قاسم بولو 3
حمزه قوچی فرد 4
1 استادیار دانشکده حسابداری و مدیریت، دانشگاه علامه طباطبائی، تهران، ایران
2 استادیار گروه حسابداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران
3 دانشیار گروه حسابداری، دانشکده مدیریت و حسابداری، دانشگاه علامه طباطبائی، تهران، ایران
4 دانشجوی دکتری تخصصی مدیریت مالی دانشگاه علامه طباطبائی، تهران، ایران
چکیده
چکیده

پژوهش حاضر پس از محاسبه ضریب زیان گریزی سرمایه گذاران فعال در بورس اوراق بهادار تهران؛ به بررسی ارتباط بین متغیر های جنسیت، ابزار تحلیل، سن, تاهل و تجربه و تحصیلات با ضریب زیان گریزی به روش رگرسیون تجمعی (pooling) پرداخت. نمونه مورد بررسی شامل 403 سرمایه گذار است که دوبار به سوالات پژوهش در فاصله زمانی 6 ماه پاسخ داده اند.
نتایج این پژوهش نشان داد که ارتباط معناداری بین جنسیت، نوع تحلیل مورد استفاده و تحصیلات با ضریب زیان گریزی سرمایه گذاران وجود دارد. رابطه این سه متغیر با ضریب زیان گریزی به صورت معکوس است؛ به عبارت دیگر به لحاظ آماری زنان زیان گریز تر از مردان هستند، همچنین با افزایش تحصیلات زیان گریزی کاهش پیدا می کند و زیان گریزی افرادی که از تحلیل بنیادی استفاده می کنند کمتر از زیان گریزی افرادی است که از تحلیل تکنیکال استفاده می کنند.
کلیدواژه‌ها
ضریب زیان گریزی
تئوری چشم انداز
نقطه مرجع

عنوان مقاله English

The survey on the Relationship between Investor Characteristics and their Loss Aversion in Tehran Stock Exchange

نویسندگان English

mohammad hassan ebrahimi sarveolia 1
Mohammad Javad Salimi 2
GHasem Bolo 3
Hamze Gouchifard 4
1 Assistant Professor, Faculty of Accounting and Management, Allameh Tabataba'i University,Tehran, Iran
2 Assistant Professor of Accounting, Faculty of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran
3 Associate Professor, Department of Accounting, Faculty of Management and Accounting, Allameh Tabataba'i University, Tehran, Iran
4 Phd Student of Financial Management, Allameh Tabataba'i University, Tehran, Iran
چکیده English

The survey on the Relationship between Investor Characteristics and their Loss Aversion Coefficient in Tehran Stock Exchange

Abstract

The present study, after calculating the Loss aversion coefficient of active investors in Tehran Stock Exchange, investigated the relationship between variables of gender, analysis tools, age, marriage, experience and education with Loss Aversion Coefficient by pooling regression method. The sample included 403 investors who responded twice to research questions within 6 months.
The results showed that there is a significant relationship between gender, type of analysis and education with investors Loss Aversion Coefficient, these variables are inversely correlated with the Loss Aversion Coefficient in Tehran Stock Exchange, in other words, females are statistically more loss averse than males, also loss aversion decrease with increasing education more over fundamental analysts are more loss averse than technical analysts.

کلیدواژه‌ها English

Loss Aversion Coefficient
Prospect Theory
Reference point
  • ثقفی، علی؛ فرهادی، روح اله، تقوی فرد، محمد تقی و برزیده، فرخ (1394). پیشبینی رفتار معاملاتی سرمایه­گذاران: شواهدی از تئوری چشم انداز، فصلنامـه علمی پژوهشی دانش سرمایه­گـذاری. دوره 4، شماره 15، صفحه 19-32
  • مصلح شیرازی، علی نقی؛ نمازی، محمد؛ محمدی، علی و دجبی، احمد (1392). تئوری چشم انداز و مدل سازی الگوی تصمیم گیری مدیران در بخش صنعت. چشم انداز مدیریت صنعتی، شماره 10، صفحه 9-33
  • Abdellaoui, M. A. Bleichrodt, H., and Kammoun, H. (2013). Do financial professionals behave according to prospect theory? An experimental study. Theory and Decision 74(3): 411-29
  • Abdellaoui, M. A., Bleichrodt, H., and Paraschiv, C. (2007). Loss aversion under prospect theory: a parameter-free measurement. Management Science 53(10):1659-74
  • Allais, M. (1953). La psychologie de l’homme rationnel devant le risque: critique des postulats ET axiomes de l’ecole Americaine. Econometrica 21:503-46
  • Anbarci, Nejat; Arin, K. Peren; Kuhlenkasper, Torben and Christina Zenker. (2017). revisiting loss-aversion: Evidence from Professional Tennis. Journal of Economic Behavior & Organization, pp 1-34
  • Barberis, N., Huang, M., (2001). Mental Accounting, Loss Aversion, and Individual Stock Returns, Journal of Finance 56, 1247-1292.
  • Barberis, N., Huang, M., Santos, T., 2001. Prospect Theory and Asset Prices, Quarterly Journal of Economics 116, 1-53.
  • Benartzi, S. and Thaler, R. H., (1995), “Myopic Loss Aversion and the Equity Premium Puzzle”, Quarterly Journal of Economics, vol.110, no.1, pp.73-92.
  • Bleichrodt, H., Pinto, J. L., andWakker, P. P. (2001). Making descriptive use of prospect theory to improve the prescriptive use of expected utility. Management Science 47(11):1498-514
  • Booij, A. S. and van de Kuilen, G. (2009). A parameter-free analysis of the utility of money for the general population under prospect theory. Journal of Economic Psychology 30(4):651-66.
  • Dhami, sanjit. (2016). Foundations of Behavioral Economic Analysis, Oxford university press, first edition
  • Dimmock, S. G., and Kouwenberg, R., (2010), “Loss-Aversion and Household Portfolio Choice”, Journal of Empirical Finance, vol.17, no.3, pp.441-459.
  • Fishburn, P. C. and Kochenberger, G. A. (1979). Two-piece von Neumann Morgenstern utility functions. Decision Sciences 10(4): 503-18
  • Frino, Alex; Lepone, Grace and DanikaWright (2015). Investor characteristics and the disposition effect. Pacific-Basin Finance Journal 31; pp1–12
  • Gachter, S., Johnson, E. J., and Herrmann, A. (2010). Individual-level loss aversion in riskless and risky choices. University of Nottingham, CeDEx. Discussion Paper 1749-3293
  • Gul, F. (1991).Atheory of disappointment aversion. Econometrica 59(3): 667-86.
  • Haigh S and List J.A. (2005). Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis. THE Journal of Financial. VOL. LX, NO. 1
  • Johnson, E. J., Gachter, S., and Herrmann, A. (2006). Exploring the nature of loss aversion. CeDEx. Discussion Paper 2006-02.
  • Kahneman, Daniel. (2011). Thinking, Fast and Slow. Farrar, Straus and Giroux; 1st edition
  • Kahneman; Daniel and Tversky; Amos. (1979). Prospect Theory: An Analysis of Decision under Risk. Econometrica, Vol. 47, No. 2. pp. 263-292.
  • Kolstad, C. D. and Guzman, R. M. (1999). Information and the divergence between willingness to accept and willingness to pay. Journal of Environmental Economics and Management 38(1):66-80.
  • Lee, B., Veld-Merkoulova, Y., 2016, Myopic Loss Aversion and Stock Investments: An Empirical Study of Private Investors, Journal of Banking & Finance doi: http://dx.doi.org/10.1016/
  • Lichtenstein, S. and Slovic, P. (1971). Reversals of preference between bids and choices in gambling decisions. Journal of Experimental Psychology 89(1):46-55
  • List, J. A. (2003). Does market experience eliminate market anomalies? Quarterly Journal of Economics 118(1):41-71.
  • List, J. A. (2004). Neoclassical theory versus prospect theory: evidence from themarketplace. Econometrica 72(2):615-25
  • Locke, P. R., and S. C. Mann, “Do Professional Traders Exhibit Loss Realization Aversion?” Working paper, Texas Christian University, 2000.
  • Loewenstein, G., (1988). Frames of Mind in Intertemporal Choice, Management Science 34, 200-214.
  • Loomes, G. and Sugden, R. (1982). Regret theory: an alternative theory of rational choice under uncertainty. Economic Journal 92 (368):805-24
  • Markowitz, H. (1952).The utility of wealth. Journal of Political Economy 60(2):151-158
  • Mehra, R., and Prescott, E. C., (1985), “The Equity Premium: A Puzzle”, Journal of Monetary Economics, vol.15, no.2, pp.145-161.
  • Pennings, J. M. E. and Smidts, A. (2003).The shape of utility functions and organizational behavior. Management Science 49(9):1251-63.
  • Phelps, E. and Pollak, R. A. (1968).On second best national savings and game equilibrium growth. Review of Economic studies 35(2):185-99.
  • Pope, D. and Schweitzer, M. (2011). Is Tiger Woods loss averse? Persistent bias in the face of experience, competition, and high stakes. American Economic Review 101(1):129-157.
  • Quiggin, J. (1982). A theory of anticipated utility. Journal of Economic Behavior and Organization 3(4):323-43.
  • Quiggin, J. (1992). Generalized Expected Utility Theory. Dordrecht: Kluwer.
  • Rau, Holger A. (2014). The disposition effect and loss aversion: Do gender differences matter? Economics Letters, no 123, pp 33–36
  • Rieger, M. O., Wang, M., and Hens, T. (2014). Prospect theory around the World. Forthcoming in Management Science.
  • Schmidt, U. and Traub, S. (2002). An experimental test of loss aversion. Journal of Risk and Uncertainty 25(3):233-49
  • Selten, R. (1998). Features of experimentally observed bounded rationality. European EconomicReview 42(3-5):413-36.
  • Simon, H. A. (1978). Rational decision-making in business organizations. Nobel Memorial Lecture, December 8, 1978
  • Thaler, R. H. (1980). Toward a positive theory of consumer choice. Journal of Economic Behavior and Organization 1; 39-60
  • Tu, Q., (2004), Reference Points and Loss Aversion in Intertemporal Choice”, Working Paper, Available at SSRN: http://ssrn.com/abstract=644142.
  • Tversky, A., and Kahneman, D., (1992), “Advances in prospect theory: cumulative representations of uncertainty”, Journal of Risk and Uncertainty, vol.5, no.4, pp.297-323.
  • Tversky, A., and Kahneman. D., (1971), “Belief in the Law of Small Numbers”, Psychological Bulletin, vol.76, no.2, pp.105-110.
  • Wooldridge J.M. (2016). Introductory econometrics. A modern approach, Cengage Learning