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处置效应是指投资者较早卖出盈利而较晚卖出亏损的行为。2005年股改开始后权证被重新引入市场,权证有更大的涨跌幅且能够T+0交易,这为我们研究处置效应提供了独特的样本。通过对某证券公司个人投资者2005—2009年40.8万笔权证T+0交易记录的研究发现:(1)亏损交易的平均持有时间比盈利交易的平均持有时间显著多出13.2%,在控制相关因素后处置效应仍然显著;(2)Cox比例风险回归分析结果显示盈利权证被卖出的可能性是亏损权证被卖出可能性的1.129倍;(3)不考虑交易费用情况下,投资者权证T+0交易略有盈利,但是扣除交易费用后整体亏损。
Disposal effect refers to the behavior of investors selling profits earlier and selling losses later. Warrants were reintroduced into the market after the share reform began in 2005. The warrants have more ups and downs and can trade at T + 0, which provides a unique sample for us to study the disposal effect. The research on the T + 0 transaction record of 408,000 warrants in 2005-2009 by individual investors of a securities firm shows that: (1) the average holding time of loss trading is significantly 13.2% more than the average holding time of the profit trading, and (2) Cox proportional hazards regression analysis shows that the probability of losing the warrants is 1.129 times the probability of the warrants being sold. (3) The investment is not subject to the transaction costs Warrants T + 0 transactions slightly profitable, but the overall loss after deducting transaction costs.