Trading Performance, Disposition Ef

Trading Performance, Disposition Effect,
Overconfidence, Representativeness Bias,
and Experience of Emerging Market Investors
GONGMENG CHEN1, KENNETH A. KIM2*, JOHN R. NOFSINGER3
and OLIVER M. RUI4
1School of Economics andManagement, Shanghai Jiaotong University, Hong Kong
2School ofManagement, State University of NewYork at Buffalo, and PACAP, USA
3College of Business,Washington State University, USA
4Faculty of Business Administration, Chinese University of Hong Kong, Hong Kong
ABSTRACT
Using brokerage account data from China, we study investment decision making in an
emerging market. We find that Chinese investors make poor trading decisions: the
stocks they purchase underperform those they sell. We also find that Chinese investors
suffer from three behavioral biases: (i) they tend to sell stocks that have appreciated in
price, but not those that have depreciated in price, consistent with a disposition effect,
acknowledging gains but not losses; (ii) they seem overconfident; and (iii) they appear
to believe that past returns are indicative of future returns (a representativeness bias). In
comparisons to prior findings, Chinese investors seem more overconfident than U.S.
investors (i.e., the Chinese hold fewer stocks, yet trade very often) and their disposition
effect appears stronger. Finally, we categorize Chinese investors based on proxy
measures of experience and find that ‘‘experienced’’ investors are not always less
prone to behavioral biases than are ‘‘inexperienced’’ ones. Copyright # 2007 John
Wiley & Sons, Ltd.
key words disposition effect; investor behavior; overconfidence; representativeness
bias
This study considers the extent to which Chinese investors make poor trading decisions and exhibit three
particular behavioral biases: (a) the disposition effect, (b) overconfidence, and (c) the representativeness bias.
These cognitive errors are forms of heuristic simplification, which stem from the brain’s tendency to make
mental shortcuts rather than engaging in longer analytical processing. The tendency for people to suffer from
these biases is well-established in the psychology and behavioral science literature (e.g., Grether, 1980;
Joseph, Larrick, Steele, & Nisbett, 1996; Kahneman & Tversky, 1973; Lichtenstein, Fischhoff, & Phillips,
1982; Ritov, 1996; Tversky & Kahneman, 1974; Yates, 1990). Recently, the economics and finance literature
Journal of Behavioral Decision Making
J. Behav. Dec. Making, 20: 425–451 (2007)
Published online 9 February 2007 in Wiley InterScience
(www.interscience.wiley.com) DOI: 10.1002/bdm.561
* Correspondence to: Kenneth A. Kim, School of Management, Jacobs Management Center, SUNY–Buffalo, Buffalo, NY, 14260, USA.
E-mail: [e-mail]
Copyright # 2007 John Wiley & Sons, Ltd.
also has found that U.S. investors suffer from these same behavioral biases (e.g., Barber & Odean, 2000,
2001; Odean, 1998a). In this study, we examine Chinese investors because Chinese culture is very different
from U.S. culture, and culture can breed overconfidence at varying levels (e.g., Yates, Zhu, Ronis, Wang,
Shinotsuka, & Toda, 1989). Some evidence exists that suggests that people raised in Asian cultures exhibit
more behavioral biases than people from the United States (e.g., Yates, Lee, & Bush, 1997).
We also consider the degree to which trading performance and behavioral biases are related to five specific
investor characteristics: investor’s investing experience, age, trading frequency, personal wealth, and the
location in which he or she resides. We specifically consider the possibility that experienced, middle-aged,
active, and wealthy investors living in cosmopolitan cities are less prone to suffering from behavioral biases.
To conduct our analyses, we analyze the trades of 46,969 individual investor brokerage accounts from a
brokerage firm in China. Before we present our results, we discuss the behavioral biases examined in the
paper, we highlight the cultural differences between China and Western countries, and then we describe the
investor characteristics that we consider.
INVESTOR BEHAVIOR
Investors may be inclined toward various types of behavioral biases, which lead them to make cognitive
errors. People may make predictable, nonoptimal choices when faced with difficult and uncertain decisions
because of heuristic simplification. We test for the existence of trading errors and consider three behavioral
biases, which are described as follows.
Overconfidence
One outcome of heuristic simplification (i.e., self-deception) occurs when people tend to think that they are
better than they really are (Trivers, 1991). The psychology and behavioral science literature characterize
people that behave as if they have more ability than they actually possess as being overconfident (e.g.,
Campbell, Goodie, & Foster, 2004; Lichtenstein et al., 1982; Yates, 1990). Investors who attribute past
success to their skill and past failure to bad luck are likely to be overconfident. An investor who is
overconfident will want to utilize his perceived superior ability to obtain large returns. Thus, overconfident
investors trade often and underestimate the associated risks of active stock investing (e.g., Kyle & Wang,
1997; Odean, 1998b). When analyzing investor behavior using their stock brokerage data, trading frequency
is commonly used as a proxy for overconfidence. Supporting these conjectures, Barber&Odean (2000, 2001)
and Odean (1999) find that U.S. individual investors trade excessively, expose themselves to a high level of
risk, and make poor ex post investing decisions (i.e., their investment portfolio returns are inferior to a
benchmark market-wide portfolio return). Of course, trading frequency is a noisy measure of overconfidence.
Investors with superior information and trading skills will utilize this ability by trading often to capture high
returns. So people with actual high ability and people who wrongly believe they have high ability will both
trade excessively. It is generally assumed that there are few truly high ability investors compared to the
number of overconfident ones. Therefore, the trading frequency proxy is often believed to represent the
behavior of overconfident investors on average.
Disposition effect
Consider the situation in which an investor wishes to sell a stock. The investor can sell a stock that has
increased in price or one that has decreased in price. People avoid actions that create regret and seek actions
Copyright # 2007 John Wiley & Sons, Ltd. Journal of Behavioral Decision Making, 20, 425–451 (2007)
DOI: 10.1002/bdm
426 Journal of Behavioral Decision Making
that cause pride. Nofsinger (2005) illustrates that selling the ‘‘winner’’ (the stock that has increased in price)
validates a good decision to purchase that stock in the first place and stimulates pride. Selling the ‘‘loser’’ (the
stock with a loss) causes the realization that the original decision to purchase it was poor, and thus stimulates
regret. Shefrin& Statman (1985) state that the propensity to avoid regret and seek pride causes investors to be
predisposed (thus the behavioral effect’s namesake) to selling winners too early and riding losers too long.
This disposition effect is one implication of extending Kahneman & Tversky’s (1979) prospect theory to
investment decision making. In prospect theory, the value function is concave in the area of gains and convex
in the area of losses, implying risk aversion in the area of gains and risk seeking in the area of losses. An
investment decision-making application of mental accounting is the process in which the mind keeps track of
gains and losses on each stock held rather than at the portfolio level (Thaler, 1980). The disposition effect
combines the prospect value function with the focus on individual stock gains and losses to predict that
investors are relatively more willing to sell the winners than the losers in their portfolios. There may be times
when selling the winner is the optimal wealth-maximizing decision. But this is generally not the case when
stock price changes move in trends (called return momentum) and when capital gains are taxed. Interestingly,
Shefrin and Statman also find that the disposition effect reverses in December when individual investors’
attention is more focused on minimizing capital gains taxes by engaging in tax-loss selling.
Consistent with the disposition effect, the economics and finance literature finds that investors often sell
stocks that have performed well so that they can feel good about themselves. At the same time, investors tend
not to sell their poorly performing stocks because they are not ready to acknowledge that they made a mistake
and because they are afraid that the stocks may recover (i.e., they wish to avoid regret; Shefrin & Statman,
1985). Odean (1998a) finds that U.S. individual investors are more willing to sell stocks that have done well
than those stocks that have done poorly. Grinblatt & Han (2005) derive an equilibrium model that explains
how prospect theory and mental accounting (i.e., the disposition effect) creates a momentum return pattern.
Frazzini (2006) empirically tests the model and concludes that when investors display the disposition effect,
it induces a stock price underreaction to news announcements and a post-announcement price drift.
Representativeness bias
One mental shortcut, the representativeness bias, involves overreliance on stereotypes (Shefrin, 2005).
Representativeness leads people to form probability judgments that systematically violate Bayes’s rule (see
Grether, 1980; Kahneman & Tversky, 1973; Tversky & Kahneman, 1974). The representativeness bias has
several implications to investment decision making. Investors may misattribute good characteristics of a
company (e.g., quality products, capable managers, high expected growth) as characteristics of a good
investment. This stereotype would induce a cognitive error as Lakonishok, Shleifer, & V

Hasil (Bahasa Indonesia) 1:

Trading Performance, Disposition Effect,Overconfidence, Representativeness Bias,and Experience of Emerging Market InvestorsGONGMENG CHEN1, KENNETH A. KIM2*, JOHN R. NOFSINGER3and OLIVER M. RUI41School of Economics andManagement, Shanghai Jiaotong University, Hong Kong2School ofManagement, State University of NewYork at Buffalo, and PACAP, USA3College of Business,Washington State University, USA4Faculty of Business Administration, Chinese University of Hong Kong, Hong KongABSTRACTUsing brokerage account data from China, we study investment decision making in anemerging market. We find that Chinese investors make poor trading decisions: thestocks they purchase underperform those they sell. We also find that Chinese investorssuffer from three behavioral biases: (i) they tend to sell stocks that have appreciated inprice, but not those that have depreciated in price, consistent with a disposition effect,acknowledging gains but not losses; (ii) they seem overconfident; and (iii) they appearto believe that past returns are indicative of future returns (a representativeness bias). Incomparisons to prior findings, Chinese investors seem more overconfident than U.S.investors (i.e., the Chinese hold fewer stocks, yet trade very often) and their dispositioneffect appears stronger. Finally, we categorize Chinese investors based on proxymeasures of experience and find that ‘‘experienced’’ investors are not always lessprone to behavioral biases than are ‘‘inexperienced’’ ones. Copyright # 2007 JohnWiley & Sons, Ltd.key words disposition effect; investor behavior; overconfidence; representativenessbiasThis study considers the extent to which Chinese investors make poor trading decisions and exhibit threeparticular behavioral biases: (a) the disposition effect, (b) overconfidence, and (c) the representativeness bias.These cognitive errors are forms of heuristic simplification, which stem from the brain’s tendency to makemental shortcuts rather than engaging in longer analytical processing. The tendency for people to suffer fromthese biases is well-established in the psychology and behavioral science literature (e.g., Grether, 1980;Joseph, Larrick, Steele, & Nisbett, 1996; Kahneman & Tversky, 1973; Lichtenstein, Fischhoff, & Phillips,1982; Ritov, 1996; Tversky & Kahneman, 1974; Yates, 1990). Recently, the economics and finance literatureJournal of Behavioral Decision MakingJ. Behav. Dec. Making, 20: 425–451 (2007)Published online 9 February 2007 in Wiley InterScience(www.interscience.wiley.com) DOI: 10.1002/bdm.561* Correspondence to: Kenneth A. Kim, School of Management, Jacobs Management Center, SUNY–Buffalo, Buffalo, NY, 14260, USA.E-mail: [e-mail] # 2007 John Wiley & Sons, Ltd.also has found that U.S. investors suffer from these same behavioral biases (e.g., Barber & Odean, 2000,tahun 2001; Odean, 1998a). Dalam studi ini, kami meneliti investor Cina karena budaya Cina sangat berbedadari US budaya, dan budaya dapat berkembang biak lebihan di berbagai tingkat (misalnya, Yates, Zhu Ronis, Wang,Shinotsuka, & Toda, 1989). Ada beberapa bukti yang menunjukkan bahwa orang-orang yang dibesarkan dalam budaya Asia pameranbias perilaku lebih daripada orang-orang dari Amerika Serikat (misalnya, Yates, Lee, & Bush, 1997).Kami juga mempertimbangkan tingkat yang perdagangan kinerja dan perilaku bias terkait dengan lima spesifikinvestor karakteristik: investor pengalaman investasi, usia, frekuensi perdagangan, kekayaan pribadi, danlokasi di mana ia berada. Kita khususnya mempertimbangkan kemungkinan bahwa berpengalaman, setengah baya,aktif, dan kaya investor yang tinggal di kota-kota kosmopolitan kurang rentan terhadap menderita bias perilaku.Untuk melakukan analisis kami, kami menganalisis perdagangan 46,969 rekening pialang investor perorangan dariperusahaan pialang di Cina. Sebelum kami menyajikan hasil kami, kita membahas bias perilaku yang diteliti dalamkertas, kami menyoroti perbedaan budaya antara Cina dan negara-negara Barat, dan kemudian kami menjelaskaninvestor karakteristik yang kami anggap.INVESTOR PERILAKUInvestor mungkin cenderung menuju berbagai jenis perilaku bias, yang menyebabkan mereka untuk membuat kognitifkesalahan. Orang dapat diprediksi, nonoptimal pilihan ketika dihadapkan dengan keputusan sulit dan tidak menentubecause of heuristic simplification. We test for the existence of trading errors and consider three behavioralbiases, which are described as follows.OverconfidenceOne outcome of heuristic simplification (i.e., self-deception) occurs when people tend to think that they arebetter than they really are (Trivers, 1991). The psychology and behavioral science literature characterizepeople that behave as if they have more ability than they actually possess as being overconfident (e.g.,Campbell, Goodie, & Foster, 2004; Lichtenstein et al., 1982; Yates, 1990). Investors who attribute pastsuccess to their skill and past failure to bad luck are likely to be overconfident. An investor who isoverconfident will want to utilize his perceived superior ability to obtain large returns. Thus, overconfidentinvestors trade often and underestimate the associated risks of active stock investing (e.g., Kyle & Wang,1997; Odean, 1998b). When analyzing investor behavior using their stock brokerage data, trading frequencyis commonly used as a proxy for overconfidence. Supporting these conjectures, Barber&Odean (2000, 2001)and Odean (1999) find that U.S. individual investors trade excessively, expose themselves to a high level ofrisk, and make poor ex post investing decisions (i.e., their investment portfolio returns are inferior to abenchmark market-wide portfolio return). Of course, trading frequency is a noisy measure of overconfidence.Investors with superior information and trading skills will utilize this ability by trading often to capture highreturns. So people with actual high ability and people who wrongly believe they have high ability will bothtrade excessively. It is generally assumed that there are few truly high ability investors compared to thenumber of overconfident ones. Therefore, the trading frequency proxy is often believed to represent thebehavior of overconfident investors on average.Disposition effectConsider the situation in which an investor wishes to sell a stock. The investor can sell a stock that hasincreased in price or one that has decreased in price. People avoid actions that create regret and seek actionsCopyright # 2007 John Wiley & Sons, Ltd. Journal of Behavioral Decision Making, 20, 425–451 (2007)DOI: 10.1002/bdm426 Journal of Behavioral Decision Makingthat cause pride. Nofsinger (2005) illustrates that selling the ‘‘winner’’ (the stock that has increased in price)validates a good decision to purchase that stock in the first place and stimulates pride. Selling the ‘‘loser’’ (thestock with a loss) causes the realization that the original decision to purchase it was poor, and thus stimulatesregret. Shefrin& Statman (1985) state that the propensity to avoid regret and seek pride causes investors to bepredisposed (thus the behavioral effect’s namesake) to selling winners too early and riding losers too long.This disposition effect is one implication of extending Kahneman & Tversky’s (1979) prospect theory to
investment decision making. In prospect theory, the value function is concave in the area of gains and convex
in the area of losses, implying risk aversion in the area of gains and risk seeking in the area of losses. An
investment decision-making application of mental accounting is the process in which the mind keeps track of
gains and losses on each stock held rather than at the portfolio level (Thaler, 1980). The disposition effect
combines the prospect value function with the focus on individual stock gains and losses to predict that
investors are relatively more willing to sell the winners than the losers in their portfolios. There may be times
when selling the winner is the optimal wealth-maximizing decision. But this is generally not the case when
stock price changes move in trends (called return momentum) and when capital gains are taxed. Interestingly,
Shefrin and Statman also find that the disposition effect reverses in December when individual investors’
attention is more focused on minimizing capital gains taxes by engaging in tax-loss selling.
Consistent with the disposition effect, the economics and finance literature finds that investors often sell
stocks that have performed well so that they can feel good about themselves. At the same time, investors tend
not to sell their poorly performing stocks because they are not ready to acknowledge that they made a mistake
and because they are afraid that the stocks may recover (i.e., they wish to avoid regret; Shefrin & Statman,
1985). Odean (1998a) finds that U.S. individual investors are more willing to sell stocks that have done well
than those stocks that have done poorly. Grinblatt & Han (2005) derive an equilibrium model that explains
how prospect theory and mental accounting (i.e., the disposition effect) creates a momentum return pattern.
Frazzini (2006) empirically tests the model and concludes that when investors display the disposition effect,
it induces a stock price underreaction to news announcements and a post-announcement price drift.
Representativeness bias
One mental shortcut, the representativeness bias, involves overreliance on stereotypes (Shefrin, 2005).
Representativeness leads people to form probability judgments that systematically violate Bayes’s rule (see
Grether, 1980; Kahneman & Tversky, 1973; Tversky & Kahneman, 1974). The representativeness bias has
several implications to investment decision making. Investors may misattribute good characteristics of a
company (e.g., quality products, capable managers, high expected growth) as characteristics of a good
investment. This stereotype would induce a cognitive error as Lakonishok, Shleifer, & V

Hasil (Bahasa Indonesia) 2:

Kinerja perdagangan, Disposition Effect,
Terlalu percaya, Keterwakilan Bias,
dan Pengalaman Emerging Market Investor
GONGMENG Chen1, KENNETH A. KIM2 *, JOHN R. NOFSINGER3
dan OLIVER M. RUI4
1School Ekonomi andManagement, Shanghai Jiaotong University, Hong Kong
2School ofManagement, Negara University of NewYork di Buffalo, dan PACAP, USA
3College of Business, Washington State University, USA
4Faculty Administrasi Bisnis, Universitas Cina Hong Kong, Hong Kong
Abstraksi
Data Menggunakan akun broker dari Cina, kita mempelajari keputusan investasi keputusan dalam suatu
pasar yang sedang berkembang. Kami menemukan bahwa investor China membuat keputusan perdagangan miskin:
saham yang mereka beli underperform mereka yang mereka jual. Kami juga menemukan bahwa investor Cina
menderita tiga bias perilaku: (i) mereka cenderung menjual saham-saham yang telah dihargai di
harga, tapi bukan mereka yang telah disusutkan harga, konsisten dengan efek disposisi,
mengakui keuntungan tapi tidak kerugian; (ii) mereka tampaknya terlalu percaya; dan (iii) mereka muncul
untuk percaya bahwa pengembalian masa lalu adalah indikasi dari keuntungan masa mendatang (bias keterwakilan). Dalam
perbandingan dengan temuan sebelumnya, investor China tampak lebih percaya diri dari US
investor (yaitu, Cina memegang saham lebih sedikit, namun perdagangan sangat sering) dan disposisi mereka
efek terlihat lebih kuat. Akhirnya, kami mengkategorikan investor China berdasarkan pada proxy
langkah-langkah dari pengalaman dan menemukan bahwa '' mengalami '' investor tidak selalu kurang
rentan terhadap bias perilaku daripada '' berpengalaman '' yang. Hak Cipta # 2007 John
Wiley & Sons, Ltd
kata kunci efek disposisi; perilaku investor; terlalu percaya; keterwakilan
Bias
studi ini mempertimbangkan sejauh mana investor Cina membuat keputusan perdagangan yang buruk dan pameran tiga
bias perilaku tertentu. (a) efek disposisi, (b) terlalu percaya, dan (c) bias keterwakilan
ini kesalahan kognitif adalah bentuk penyederhanaan heuristik , yang berasal dari kecenderungan otak untuk membuat
jalan pintas mental daripada terlibat dalam lagi pengolahan analisis. Kecenderungan orang untuk menderita
bias ini adalah mapan dalam psikologi dan ilmu perilaku literatur (misalnya, Grether, 1980;
Yusuf, Larrick, Steele, & Nisbett, 1996; Kahneman & Tversky, 1973; Lichtenstein, Fischhoff, & Phillips ,
1982; Ritov, 1996; Tversky & Kahneman, 1974; Yates, 1990). Baru-baru ini, ekonomi dan sastra keuangan
Journal of Behavioral Keputusan Membuat
J. Behav. Pembuatan Desember, 20: 425-451 (2007)
Diterbitkan online 9 Februari 2007 di Wiley InterScience
(www.interscience.wiley.com) DOI: 10,1002 / bdm.561
* Korespondensi ke: Kenneth A. Kim, School of Management, Jacobs Pusat manajemen, SUNY-Buffalo, Buffalo, NY, 14260, USA.
E-mail: [e-mail]
Copyright # 2007 John Wiley & Sons, Ltd
juga telah menemukan bahwa investor AS menderita bias perilaku ini sama (misalnya, Barber & Odean, 2000,
2001; Odean, 1998a). Dalam studi ini, kami meneliti investor China karena budaya Cina sangat berbeda
dari budaya AS, dan budaya dapat berkembang biak terlalu percaya pada berbagai tingkat (misalnya, Yates, Zhu, Ronis, Wang,
Shinotsuka, & Toda, 1989). Beberapa bukti ada yang menunjukkan bahwa orang-orang yang diangkat dalam budaya Asia menunjukkan
bias lebih perilaku dari orang-orang dari Amerika Serikat (misalnya, Yates, Lee, & Bush, 1997).
Kami juga mempertimbangkan sejauh mana perdagangan kinerja dan bias perilaku terkait dengan lima spesifik
karakteristik investor: investasi pengalaman investor, usia, frekuensi perdagangan, kekayaan pribadi, dan
lokasi di mana ia berada. Kami secara khusus mempertimbangkan kemungkinan yang mengalami, setengah baya,
aktif, dan investor kaya yang tinggal di kota-kota kosmopolitan kurang rentan terhadap menderita bias perilaku.
Untuk melakukan analisis kami, kami menganalisis perdagangan dari 46.969 rekening broker investor individu dari
perusahaan broker di Cina. Sebelum kami menyajikan hasil kami, kami membahas bias perilaku diperiksa di
kertas, kami menyoroti perbedaan budaya antara China dan negara-negara Barat, dan kemudian kita menggambarkan
karakteristik investor yang kita anggap.
INVESTOR PERILAKU
Investor mungkin cenderung ke arah berbagai jenis bias perilaku , yang memimpin mereka untuk membuat kognitif
kesalahan. Orang mungkin membuat diprediksi, pilihan tidak optimal ketika menghadapi keputusan sulit dan tidak pasti
karena penyederhanaan heuristik. Kami menguji adanya kesalahan perdagangan dan mempertimbangkan tiga perilaku
bias, yang dijelaskan sebagai berikut.
Terlalu percaya
Salah satu hasil dari penyederhanaan heuristik (yaitu, menipu diri sendiri) terjadi ketika orang cenderung berpikir bahwa mereka
lebih baik daripada yang sebenarnya (Trivers, 1991). Psikologi dan sastra ilmu perilaku ciri
orang yang berperilaku seolah-olah mereka memiliki kemampuan lebih dari yang mereka benar-benar memiliki sebagai percaya diri (misalnya,
Campbell, Goodie, & Foster, 2004; Lichtenstein et al, 1982;. Yates, 1990). Investor yang atribut masa lalu
sukses keterampilan mereka dan kegagalan masa lalu untuk nasib buruk cenderung terlalu percaya. Seorang investor yang
percaya diri akan ingin memanfaatkan kemampuan atasannya dirasakan untuk mendapatkan keuntungan besar. Dengan demikian, terlalu percaya diri
investor perdagangan sering dan meremehkan risiko yang terkait aktif berinvestasi saham (misalnya, Kyle & Wang,
1997; Odean, 1998b). Ketika menganalisis perilaku investor menggunakan data broker saham mereka, frekuensi perdagangan
umumnya digunakan sebagai proxy untuk terlalu percaya. Mendukung dugaan ini, Barber & Odean (2000, 2001)
dan Odean (1999) menemukan bahwa US investor individu perdagangan berlebihan, mengekspos diri untuk tingkat tinggi
risiko, dan membuat keputusan investasi ex post miskin (yaitu, hasil portofolio investasi mereka lebih rendah untuk
patokan lebar-pasar return portofolio). Tentu saja, frekuensi perdagangan adalah ukuran bising terlalu percaya diri.
Investor dengan informasi dan perdagangan keterampilan unggul akan memanfaatkan kemampuan ini dengan perdagangan sering menangkap tinggi
kembali. Jadi orang-orang dengan kemampuan tinggi yang sebenarnya dan orang-orang yang salah percaya bahwa mereka memiliki kemampuan tinggi akan baik
perdagangan berlebihan. Secara umum diasumsikan bahwa ada beberapa investor yang benar-benar kemampuan tinggi dibandingkan dengan
jumlah yang terlalu percaya diri. Oleh karena itu, frekuensi proksi perdagangan sering dipercaya untuk mewakili
perilaku investor terlalu percaya diri rata-rata.
Efek Disposisi
Pertimbangkan situasi di mana seorang investor ingin menjual saham. Investor dapat menjual saham yang telah
meningkat dalam harga atau yang mengalami penurunan harga. Orang menghindari tindakan yang membuat penyesalan dan mencari tindakan
Copyright # 2007 John Wiley & Sons, Ltd Jurnal Pengambilan Keputusan Perilaku, 20, 425-451 (2007)
DOI: 10,1002 / bdm
426 Jurnal Pengambilan Keputusan Perilaku
yang menyebabkan kebanggaan. Nofsinger (2005) menggambarkan bahwa menjual 'Pemenang' '(saham yang telah meningkat dalam harga)
memvalidasi keputusan yang baik untuk membeli saham yang di tempat pertama dan merangsang kebanggaan. Menjual '' pecundang '' (the
saham dengan kerugian) menyebabkan kesadaran bahwa keputusan asli untuk membeli itu miskin, dan dengan demikian merangsang
penyesalan. Shefrin & Statman (1985) menyatakan bahwa kecenderungan untuk menghindari penyesalan dan mencari kebanggaan menyebabkan investor akan
cenderung (sehingga senama efek perilaku) untuk menjual pemenang terlalu dini dan naik pecundang terlalu lama.
Efek disposisi ini adalah salah satu implikasi dari perluasan Kahneman & Tversky ini ( 1979) teori prospek untuk
pengambilan keputusan investasi. Dalam teori prospek, fungsi nilai cekung di bidang keuntungan dan cembung
di daerah kerugian, menyiratkan keengganan risiko di bidang keuntungan dan risiko mencari di daerah kerugian. Sebuah
aplikasi pengambilan keputusan investasi akuntansi jiwa adalah proses di mana pikiran melacak
keuntungan dan kerugian pada masing-masing saham yang dipegang daripada di tingkat portofolio (Thaler, 1980). Efek disposisi
menggabungkan fungsi nilai prospek dengan fokus pada keuntungan saham individual dan kerugian untuk memprediksi bahwa
investor relatif lebih bersedia untuk menjual pemenang dari pecundang dalam portofolio mereka. Mungkin ada saat
ketika menjual pemenangnya adalah keputusan kekayaan memaksimalkan optimal. Tapi ini umumnya tidak terjadi ketika
perubahan harga saham bergerak dalam tren (disebut momentum pulang) dan ketika capital gain dikenakan pajak. Menariknya,
Shefrin dan Statman juga menemukan bahwa efek disposisi membalikkan pada bulan Desember ketika investor individu
'perhatian lebih terfokus pada meminimalkan pajak keuntungan modal dengan terlibat dalam penjualan pajak badan.
Konsisten dengan efek disposisi, ekonomi dan keuangan literatur menemukan bahwa investor sering menjual
saham yang telah dilakukan dengan baik sehingga mereka bisa merasa baik tentang diri mereka sendiri. Pada saat yang sama, investor cenderung
untuk tidak menjual saham mereka berkinerja buruk karena mereka tidak siap untuk mengakui bahwa mereka membuat kesalahan
dan karena mereka takut bahwa saham dapat pulih (yaitu, mereka ingin menghindari penyesalan; Shefrin & Statman,
1985 ). Odean (1998a) menemukan bahwa US investor individu lebih bersedia untuk menjual saham-saham yang telah dilakukan dengan baik
dari saham-saham yang telah dilakukan buruk. Grinblatt & Han (2005) berasal model keseimbangan yang menjelaskan
bagaimana teori prospek dan akuntansi mental (yaitu, efek disposisi) menciptakan pola momentum kembali.
Frazzini (2006) secara empiris menguji model dan menyimpulkan bahwa ketika investor menampilkan efek disposisi,
itu menginduksi underreaction harga saham terhadap pengumuman berita dan drift harga pasca-pengumuman.
keterwakilan Bias
Satu pintas mental, bias keterwakilan, melibatkan overreliance pada stereotip (Shefrin, 2005).
Keterwakilan menyebabkan orang untuk membentuk penilaian probabilitas yang sistematis melanggar aturan Bayes (lihat
Grether, 1980; Kahneman & Tversky, 1973; Tversky & Kahneman, 1974). Bias keterwakilan memiliki
beberapa implikasi untuk pengambilan keputusan investasi. Investor mungkin misattribute karakteristik baik dari
perusahaan (misalnya, produk-produk berkualitas, manajer mampu, pertumbuhan yang diharapkan tinggi) sebagai karakteristik yang baik
investasi. Stereotip ini akan menimbulkan kesalahan kognitif sebagai Lakonishok, Shleifer, & V