투자자 성별과 과잉확신이 거래량과 투자성과에 미치는 영향 분석
An Analysis of the Effect of Investor Gender and Overconfidence on Trading Volume and Performance
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본 연구의 목적은 우리나라 주식시장에서 성별과 그에 따른 과잉확신의 차이가 거래량과 투자성과에 영향을 미치는지를 검증하는데 있다. 개인투자자 7,325명의 6년 동안의 거래 자료를 분석한 결과 여성의 거래 회전율이 남성보다 약 30% 정도 높았으며 거래로 인한 수익률 감소폭도 여성이 남성보다 크게 나타났다. 이는 심리학 연구의 예측과는 달리 여성의 과잉확신 정도가 남성보다 크다는 증거이다. 그러나 남성의 수익률이 여성보다 연평균 8.1%p 높게 나타나 수익률 차이와 투자규모 차이를 통제한 후 남녀 차이를 비교한 결과 남성의 거래회전율이 여성보다 유의적으로 높게 나타났으며 거래로 인한 수익률 감소는 남녀가 비슷한 크기이다. 이 차이는 투자규모 최상위 10%에 속한 투자자들로 인해 발생한 것으로서 이 그룹에서는 여성이 오히려 남성보다 거래회전율이 30% 이상 높으며, 남성의 경우 투자규모가 커질수록 회전율이 감소하지만 여성의 경우 그 반대로 투자규모가 커질수록 회전율이 증가하는 것으로 나타났다.
Abstract
The objective of this paper is to test if men trade more than women and thus experience a greater reduction in investment returns, as predicted by psychological evidence and overconfidence models. By analyzing trade and balance records of 7,325 individual investors, we find women trade 30% more than men and thus incur greater return reduction. We also find men perform substantially better than women, earning 8.1%p more annually. When differences in performance and investment size are controlled, it turns out that men trade more than women by 12 percent and return reduction is about the same among men and women. The difference in the results is caused by investors in the top investment size decile, where women trade 32 percent more and incur higher trading costs than men in the same size range.
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