市场层面上的赌资效应研究

中国管理科学 ›› 2012, Vol. ›› Issue (4): 45-51.

市场层面上的赌资效应研究

文凤华^1,3, 晁攸丛¹, 刘志峰¹, 杨晓光^1,2,3

1. 长沙理工大学经济与管理学院, 湖南长沙 410004;
2. 中国科学院数学与系统科学研究院管理、决策与信息系统重点实验室, 北京 100080;
3. 湖南省金融工程与金融管理研究中心, 湖南长沙 410004

收稿日期:2011-04-27 修回日期:2012-03-26 出版日期:2012-08-29 发布日期:2012-08-29
基金资助:
国家自然科学基金资助项目(70971013,71171024);湖南省杰出青年基金(09JJ1010);湖南省社科基金重点项目(11ZDB11)

Research on House Money Effect at the Market Level

WEN Feng-hua^1,3, CHAO You-cong¹, LIU Zhi-feng¹, YANG Xiao-guang^1,2,3

1. School of Eoonomics and Management, Changsha University of Science and Techaology, Changsha 410004, China;
2. Key Laboratory of Managenent, Decision and Information Systems, Academy of Mathematics and Systems Science, Chinese Acadeny of Sciences, Beijing 100080, China;
3. Research Center for Finamcial Engineering and Financial Management of Hunan Province, Changsha 410004, China

Received:2011-04-27 Revised:2012-03-26 Online:2012-08-29 Published:2012-08-29

摘要/Abstract

摘要： 赌资效应(House Money Effect)是指前期收益会使投资者变得更加风险寻求。与以往基于心理学实验或投资者个人交易账户数据所进行的实证研究不同,本文以股票市场整体行为为研究对象,采用世界上具有代表性的十四支股票综合指数为样本,构建TVRA-GARCH-M模型来研究在市场层面上前期损益对当期风险态度的影响。实证研究发现,在股票市场整体行为上,前期收益会降低当期的风险规避程度;同时,前期损失会提高当期的风险规避程度。

关键词: 赌资效应, 风险态度, TVRA-GARCH-M

Abstract: The house money effect describes the psychological tendency of investors to become increasingly risk-seeking follwing prior gains. While previous empirical studies of house money effect are largely carried out through psychological experiments or individual investors trading account data, in this paper, by taking the behavior of the whole stock market as an entire entity, the daily return data from stock market of 14 representative countries or regions are used, and the TVRA-GARCH-M model is constructed to make an empirical research on the influence of prior outcomes to current risk attitude at the market level. Empirical results show that prior gains lead to less risk aversion in the current period, and prior losses increase the current risk aversion.

Key words: house money effect, risk attitude, TVRA-GARCH-M

中图分类号:

F224

文凤华, 晁攸丛, 刘志峰, 杨晓光. 市场层面上的赌资效应研究[J]. 中国管理科学, 2012, (4): 45-51.

WEN Feng-hua, CHAO You-cong, LIU Zhi-feng, YANG Xiao-guang. Research on House Money Effect at the Market Level[J]. Chinese Journal of Management Science, 2012, (4): 45-51.

参考文献

[1] Keasey K, Moon P.Gambling With the house money in capital expenditure decisions: an experimental analysis [J].Economic Letters,1996,50 104-110.
[2] Perry S.Time-varying risk premiums in petroleum futures prices [J].Energy Economics, 2002,24:539–556.
[3] Javid A Y.Time varying risk return relationship:evidence from listed pakistani firms [J]. European Journal of Scientific Research, 2008, 22(1): 16-39.
[4] Thaler R H, Johnson E J.Gambling with the house money and trying to breakeven:the effect of prior outcomes on risky choice [J].Management science,1990,36: 643-660.
[5] Tversky K.Prospect theory:an analysis of decision under risk [J].Econometrics, 1979, 47: 263-291.
[6] Tversky A, Kahneman D.The framing of decisions and the psychology of choice [J]. Science,1981, 211(1): 453-458.
[7] Barberis H M,Santos T. Prospect theory and asset prices [J].Qarterly Journal of Economics,2001,116(1):1-53.
[8] Gneezy U, Kapteyn A, Potters J.Evaluation periods and asset prices in a market experiment [J].Journal of Finance, 2003, 58: 821-838.
[9] Ackert L, Charupat N, Church B, Deaves R. An experimental examination of the house money effect in a multi-period setting [J].Experimental Economics, 2006, 9 (1): 5-16.
[10] Sullivan K,Kida T.The effect of multiple reference points and prior gains and losses on managers’risky decision making [J].Organizational Behavior and Human Decision Processes, 1995, 64: 76-83.
[11] Weber M, Zuchel H. How do prior outcomes affect risk attitude? comparing escalation of commitment and the house-money effect [J].Decision Analysis, 2005, 2(1): 30-43.
[12] Martínez L R, Jaramillo C, Roux N D, Cárdenas J C. It’s not my money: an experiment on risk aversion and the house-money effect. Working Papre, Centro de Estudios sobre Desarrollo Económico,2010.
[13] Harrison G.House money effects in public good experiments [J].Comment Experimental Economics,2007,10(4): 429-437.
[14] Reinstein D, Riener G.House money effects on Charitable Giving: An Experiment. Working Papre, University of Essex,2009.
[15] Chakravarty S, Ma Yongjin.A Reexamination of the House Money Effect: Rational Behavior or Irrational Exuberance?. Working Papre, Purdue University,2009.
[16] Clark J.House money effects in public good experiments [J].Experimental Economics, 2002, 5(3):223-231.
[17] Barkan R, Busemeyer J R. Changing plans:dynamic inconsistency and the effect of experience on the reference point [J].Psychonomic Bulletin and Review, 1999, 6: 547-554.
[18] Hirshleifer D.Investor psychology and asset pricing [J].Journal of Finance,2001, 56(4): 1533-1597.
[19] 文凤华,饶贵添,杨晓光.股票市场价值函数实证研究 [J].中国管理科学,2010,18(5):7-13.
[20] Brown P, Chappel N, Rosa R S, Walter T.The reach of the disposition effect: large sample evidence across investor classes [J]. International Review of Finance, 2006, (6): 43-78.
[21] Hsu Y L, Chow E H. House Money and Investment Risk Taking. Working Papre, 2010.
[22] Frino A, Grant J, Johnstone D.The house money effect and local traders on the sydney futures exchange [J].Pacific-Basin Finance Journal, 2008, 16: 8-25.
[23] Liu Y J, Tsai C L, Wang Mingchun, Zhu Ning.Prior consequences and subsequent risk taking: new field evidence from the taiwan futures exchange [J].Management Science, 2010, 56(4): 606-620.
[24] Mattos F, Garcia P.The effect of prior gains and losses on current risk-taking using quantile regression. The NCCC134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, St Louis, 2009.
[25] Locke P R, Mann S C.Prior outcomes and risky choice by professional traders. Working Papre, George Washington University,2003.
[26] Coval J D, Shumway T. Do behavioral biases affect prices? [J].Journal of Finance,2005,60 (1):1-34.
[27] 胡支军,叶丹.基于损失厌恶的非线性投资组合问题 [J].中国管理科学, 2010,18 (4):28-33.
[28] 彭飞,史本山,黄登仕.极大极小价值离差的资产选择模型研究 [J].管理学报,2004,(03): 290-294.
[29] Ericson K, Marzilli M, Fuster A.Expectations as endowments:reference-dependent preferences and exchange behavior. Working Paper, Harvard University,2009.
[30] Gill D, Prowse V.A structural analysis of disappointment aversion in a real effort competition. Discussion Paper No.1006,Economics Division, School of Social Sciences, University of Southampton,2010.
[31] Köszegi B, Rabin M.A model of reference-dependent preferences [J].The Quarterly Journal of Economics,2006,121(4):1133-1165.
[32] Köszegi B, Rabin M.Reference-dependent risk attitudes [J].American Economic Review,2007,97(4):1047-1073.
[33] Köszegi B, Rabin M.Reference-dependent consumption plans [J].American Economic Review,2009,99(3):909-936.
[34] Wen Fenghua, Yang Xiaoguang.Skewness of return distribution and coefficient of risk premium [J]. Journal of Systems Science and Complexity,2009,22:360-371.
[35] Anderson H M,Nam K,Vahid F.An asymmetric nonlinear smooth-transition GARCH models[M]// Rothman P. Nonlinear Time Series Analysis of Economic and Finnacial Data. Boston:Kluwer Academic Publishers,1999.
[36] Li G.Time-varying risk aversion and asset prices [J].Journal of Banking & Finance, 2007, 31(1):243–257.
[37] Cotter J H.Time-varying risk aversion: an application to energy hedging [J].Energy Economics, 2010,32(2):432-441.