주식시장의 구조적 변화에 따른 비대칭적 매도성향 분석: 준거점 의존선호를 중심으로
Reference Dependent Preferences and Disposition Effect: Evidence from the Korean Stock Market
1
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
비대칭적 매도성향은 이익은 너무 빨리 처분하고 손실은 지나치게 오랫동안 보유하는 투자자 성향으로서 주식시장에서 논의되는 대표적 이례현상이다. 본 연구는 심적 회계와 프로스펙트 이론으로부터 도출한 투자자의 준거점 의존선호를 토대로 주식시장에서의 비대칭적 매도성향을 밝혀 재무설계 전략에 관한 이론적․실무적 함의를 도출하고자 한다. 이를 위하여, 1980년 1월부터 2015년 8월까지 한국증권거래소에 상장된 보통주의 주간 시계열 자료를 사용하여 전체기간 및 구조적 변화에 따른 세부기간별로 Fama-MacBeth 횡단면 회귀분석을 수행하였으며 분석 결과는 다음과 같다. 조사 대상기간 전체를 표본으로 한 분석에서, 준거점 의존선호가 비대칭적 매도성향을 부분적으로 설명하였으나 수익률 변동성을 통제하였을 때 부분적 설명력도 사라졌다. 세부 기간별 분석결과 IMF 영향기에는 준거점 의존선호가 비대칭적 매도성향을 설명하였으며 수익률 변동성을 통제하여도 같은 결과가 유지되었다. 나아가 IMF 영향기 이후에는 여전히 준거점 의존선호가 비대칭적 매도성향을 설명하였으며 회귀계수와 유의도로 평가한 설명력이 IMF 영향기보다 오히려 증가하였다. 이로부터 IMF충격을 경험하면서 큰 손실 경험과 증가된 불확실성이 투자자의 준거점 의존선호를 형성하였으며 IMF 충격을 벗어나면서 준거점 의존선호가 고착․강화된 것으로 추론해 볼 수 있다. 본 연구 결과는 투자자 행동을 보다 잘 이해하고 재무설계전략을 수립하기 위해서는 투자자의 제한된 합리성에 대한 고려가 중요함을 시사한다.
Abstract
This study aims at analyzing the existence and causes of a disposition effect in the Korean stock market. Disposition effect is defined as the tendency of investors to sell winning stocks too soon and holds on to losing stocks too long. According to the literatures, this effect is known to penalize the investment performance. While rational investing theories struggle explaining this phenomenon, scholars have turned to a behavioral approach to explain the disposition effect. The main rationale for the existence of the disposition effect is that of Kahneman and Tversky’s reference-dependent preferences with mental accounting to explain disposition effect: investors recognize each stock as a separate account, and each stock has a different value function for domains of gains and losses. The value function is concave for gains, implying risk aversion. As a consequence, when a stock generates gains, it is early sold to avoid the risk of loss. By contrast, the value function is convex for losses, implying risk seeking: when a loss occurs, investor tends to hold on to their losing investments to avoid realizing they made a mistake. Thus, reference- dependent preferences induce the disposition effect. The disposition effect was measured using capital gains, as a proxy of reference-dependent preferences. And then, we analyzed relationship between capital gains and disposition effect. We used the weekly time series of 987 stocks listed on the Korean exchange (KRX), observed weekly from January 1980 to August 2015. We performed a Fama-MacBeth type cross-sectional regression. The results can be summarized as follows: The results of the overall period show that the disposition effect that occurs in some parts of the Korean stock market is not due to a direct effect of reference-dependent preferences, but by an indirect effect of return volatility through reference-dependent preferences. On the other hand, in analysis of sub-periods, the impact of capital gains on the stock return was not significant before the IMF shock, but became significant during the IMF impact. After this change, the investor reference-dependent preferences that did not exist before the IMF shock formed during the IMF impact and became stronger afterwards. Preferences do not form or change easily, but the IMF shock was influential enough to change investors’ preferences, which, formed this way, became permanent and reinforced with time. Research results suggest that the disposition effect may be an investor predicted behavior.
참고문헌 (44)
- 고강석, "투자성향효과가 투자성과에 미치는 영향", Journal of The Korean Data Analysis Society, 13(1), pp.391~402 (2011), 한국자료분석학회
- 김동철, "프로스펙트이론의 손실회피현상과 개인투자자들의 매도행태", 경영학연구, 34(2), pp.603~630 (2005), 한국경영학회
- 김상환, "우리나라 주식수익률의 결정요인: 특성 또는 위험요인", 한국증권학회지, 38(3), pp.289~323 (2009), 한국증권학회
- 박순식, "한국주식시장에서의 투자성향효과 분석", 국제경영리뷰, 11(1), pp.91~114 (2007), 한국국제경영관리학회
- 박종선, "가계 주 소득 원천과 소득 분위에 따른 가계 유형별 심적 회계 분석", 소비자학연구, 25(1), pp.115~144 (2014), 한국소비자학회
- 박종선, "1인당 국민소득 3만 불, 행복하세요? 상대적 소득이 삶의 만족도에 미치는 영향", 소비문화연구, 18(3), pp.1~23 (2015), 한국소비문화학회
- 박종선, "근로장려세제의 근로유인효과: 심적회계이론을 중심으로", 소비자학연구, 27(1), pp.139~152 (2016), 한국소비자학회
- 변영훈, "개인투자자의 투자성향효과의 검증", 경영연구, 21(1), pp.257~281 (2006), 한국산업경영학회
- 조담, "금융계량분석" (2006), 도서출판 청람
- 오승현, "수익률에 반영된 디스포지션 효과 측정과 미실현 이익 및 거래량의 역할", 한국증권학회지, 41(3), pp.437~461 (2012), 한국증권학회
- 오승현, "디스포지션 효과를 활용한 주가지수선물 투자전략", 선물연구, 22(1), pp.25~44 (2014), 한국파생상품학회
- 최운열, "인지행위적 재무론에서 개인투자자들의 처분효과에 관한 연구", Asia-Pacific Journal of Financial Studies, 33(2), pp.83~105 (2004), 한국증권학회
- Barberis, N, "What Drives the Disposition Effect? An Analysis of a Long‐Standing Preference‐Based Explanation", The Journal of finance, 64(2), pp.751~784 (2009)
- Ben-David, I, "Are investors really reluctant to realize their losses? Trading responses to past returns and the disposition effect", Review of Financial Studies, 25(8), pp.2485~2532 (2012)
- Birru, J, "Confusion of Confusions: A Test of the Disposition Effect and Momentum", Review of Financial Studies, 28(7), pp.1849~1873 (2015)
- "Up close and personal:An individual level analysis of the disposition effect" (2002)[URL]
- Fama, E. F, "Risk, return, and equilibrium: Empirical tests", The Journal of Political Economy, 81(3), pp.607~636 (1973)
- Frazzini, A, "The disposition effect and underreaction to news", The Journal of finance, 61(4), pp.2017~2046 (2006)
- Gervais, S, "The High-Volume Return Premium", The Journal of finance, 56(3), pp.877~919 (2001)
- Gneezy, U, "Experimental business research", pp.263~284 (2005), Springer US
- Goetzmann, W. N, "Disposition Matters: Volume, Volatility, and Price Impact of a Behavioral Bias", The Journal of Trading, 3(2), pp.68~90 (2008)
- Greene, W. H., "Econometric Analysis" (2012), Pearson Education
- Grinblatt, M, "Prospect theory, mental accounting, and momentum", Journal of financial economics, 78(2), pp.311~339 (2005)
- Hamilton, D, "Sometimes R2＞r2yx1＋r2yx2:Correlated variables are not always redundant", The American Statistician, 41(2), pp.129~132 (1987)
- Heath, C., "Psychological Factors and Stock Option Exercise", The Quarterly Journal of Economics, 114(2), pp.601~627 (1999)
- Jegadeesh, N, "Returns to buying winners and selling losers: Implications for stock market efficiency", The Journal of finance, 48(1), pp.65~91 (1993)
- Kahneman, D, "Prospect Theory: An Analysis of Decision under Risk", Econometrica, 47(2), pp.263~291 (1979)
- Kaustia, M, "Prospect Theory and the Disposition Effect", Journal of Financial and Quantitative Analysis, 45(3), pp.791~812 (2010)
- Köszegi, B, "A Model of Reference-Dependent Preferences", The Quarterly Journal of Economics, 121(4), pp.1133~1165 (2006)
- Köszegi, B, "Reference-Dependent Risk Attitudes", The American Economic Review, 97(4), pp.1047~1073 (2007)
- Lakonishok, J, "Volume for Winners and Losers: Taxation and Other Motives for Stock Trading", The Journal of finance, 41(4), pp.951~974 (1986)
- Lee, C, "Price momentum and trading volume", The Journal of finance, 55(5), pp.2017~2069 (2000)
- Li, Y, "Prospect theory, the disposition effect, and asset prices", Journal of financial economics, 107(3), pp.715~739 (2013)
- MacKinnon, D. P., "Equivalence of the mediation, confounding and suppression effect", Prevention science, 1(4), pp.173~181 (2000)
- Newey, W. K, "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix", Econometrica, 55(3), pp.703~708 (1987)
- Odean, T, "Are investors reluctant to realize their losses?", The Journal of finance, 53(5), pp.1775~1798 (1998)
- Petersen, M. A, "Estimating standard errors in finance panel data sets: Comparing approaches", Review of Financial Studies, 22(1), pp.435~480 (2009)
- "Disposition effect and firm size: New evidence on individual investor trading activity" (2001)[URL]
- Shefrin, H, "The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence", The Journal of finance, 40(3), pp.777~790 (1985)
- "CHOWREG: Stata module to compute Structural Change Regressions and Chow Test. Statistical Software Components" (2012)[URL]
- Simon, H. A, "Theories of bounded rationality", Decision and organization, 1(1), pp.161~176 (1972)
- Thaler, R, "Mental accounting and consumer choice", Marketing Science, 4(3), pp.199~214 (1985)
- Tversky, A, "Advances in prospect theory: Cumulative representation of uncertainty", Journal of risk and uncertainty, 5(4), pp.297~323 (1992)
- "다운로드 경로: 주제별통계\재정․금융․보험\금융\증권\증권․파생상품시장통계" (2016), 국가통계포털[URL]