从“管中窥豹”到“高屋建瓴”：大数据背景下的个人投资者行为

doi:10.16381/j.cnki.issn1003-207x.2021.0442

Abstract

Abstract: Modern financial theory is based on the two theoretical cornerstones of the Capital Asset Pricing Model (CAPM) and the Efficient Market Hypothesis (EMH). However, with the deepening of research, the Hypothesis of Rational Man have been shaken by numerous financial anomalies. Kahneman and Tversky took the lead in proposing the prospect theory and pioneered behavioral finance. With the development of big data, more dimensional data are applied to the study of investor behaviors. In this paper, research literature on investor behaviors in the context of big data is summarized from nine perspectives: investor heterogeneity, disposal effect, local bias, industry bias, gambling preference, social interaction, overconfidence, herd behavior and determinants of investor behaviors. Furthermore, current technology and financial market development are combined to propose future research directions.

Key words: big data; investor behaviors; research prospect

CLC Number:

F830.9

YAN Yu-meng, XIONG Xiong, LU Lei, ZHANG Wei, ZHANG Yong-jie. From “A Peek” to “A Strategic View”: Individual Investor Behaviors in the Age of Big Data[J]. Chinese Journal of Management Science, 2023, 31(9): 244-254.

References

［1］ Markowitz H. Portfolio selection［J］. Journal of Finance, 1952, 7(1): 77-91.
［2］ Sharpe W F. Capital asset prices: a theory of market equilibrium under conditions of risk［J］. Journal of Finance, 1964, 19(3): 425-442.
［3］ Fama E F. The behavior of stock-market prices［J］. Journal of Business, 1965, 38(1): 34-105.
［4］ Kahneman D, Riepe M W. Aspects of investor psychology［J］. Journal of Portfolio Management, 1998, 24(4): 52-65.
［5］ De Long J B, Shleifer A, Summers L H, et al. Noise trader risk in financial markets［J］. Journal of Political Economy, 1990, 98(4): 703-738.
［6］ De Long J B, Shleifer A, Summers L H, et al. Positive feedback investment strategies and destabilizing rational speculation［J］. Journal of Finance, 1990, 45(2): 379-395.
［7］ Mehra R, Prescott E C. The equity premium: a puzzle［J］. Journal of Monetary Economics, 1985, 15(2): 145-161.
［8］ Kahneman D, Tversky A. Prospect theory: an analysis of decision under risk［J］. Econometrica, 1979, 47(2): 263-292.
［9］ Shefrin H, Statman M. Behavioral capital asset pricing theory［J］. Journal of Financial and Quantitative Analysis, 1994, 29(3): 323-349.
［10］ Shefrin H, Statman M. Behavioral portfolio theory［J］. Journal of Financial and Quantitative Analysis, 2000, 35(2): 127-151.
［11］ Barber B M, Odean T. Trading is hazardous to your wealth: the common stock investment performance of individual investors［J］. Journal of Finance, 2000, 55(2): 773-806.
［12］ Barber B M, Odean T. Boys will be boys: gender, overconfidence, and common stock investment［J］. Quarterly Journal of Economics, 2001, 116(1): 261-292.
［13］ Barber B M, Odean T. All that glitters: the effect of attention and news on the buying behavior of individual and institutional investors［J］. Review of Financial Studies, 2008, 21(2): 785-818.
［14］ Odean T. Volume, volatility, price, and profit when all traders are above average［J］. Journal of Finance, 1998, 53(6): 1887-1934.
［15］ Barber B M, Odean T, Zhu Ning. Do retail trades move markets?［J］. Review of Financial Studies, 2009, 22(1): 151-186.
［16］ Kaniel R, Saar G, Titman S. Individual investor trading and stock returns［J］. Journal of Finance, 2008, 63(1): 273-310.
［17］ Kaniel R, Liu Shuming, Saar G, et al. Individual investor trading and return patterns around earnings announcements［J］. Journal of Finance, 2012, 67(2): 639-680.
［18］ Kelley E K, Tetlock P C. How wise are crowds? Insights from retail orders and stock returns［J］. Journal of Finance, 2013, 68(3): 1229-1265.
［19］ Fong K Y L, Gallagher D R, Lee A D. Individual investors and broker types［J］. Journal of Financial and Quantitative Analysis, 2014, 49(2): 431-451.
［20］ Boehmer E, Jones C M, Zhang Xiaoyan, et al. Tracking retail investor activity［J］. Journal of Finance, 2021, DOI: 10.1111/jofi.13033.
［21］ Hong H, Stein J C. A unified theory of underreaction, momentum trading, and overreaction in asset markets［J］. Journal of Finance, 1999, 54(6): 2143-2184.
［22］ Hong H, Stein J C. Disagreement and the stock market［J］. Journal of Economic Perspectives, 2007, 21(2): 109-128.
［23］ Hirshleifer D, Teoh S H. Limited attention, information disclosure, and financial reporting［J］. Journal of Accounting and Economics, 2003, 36(1-3): 337-386.
［24］ Peng Lin, Xiong Wei. Investor attention, overconfidence and category learning［J］. Journal of Financial Economics, 2006, 80(3): 563-602.
［25］ Harris M, Raviv A. Differences of opinion make a horse race［J］. Review of Financial Studies, 1993, 6(3): 473-506.
［26］ Kandel E, Pearson N D. Differential interpretation of public signals and trade in speculative markets［J］. Journal of Political Economy, 1995, 103(4): 831-872.
［27］ Odean T. Are investors reluctant to realize their losses?［J］. Journal of Finance, 1998, 53(5): 1775-1798.
［28］ Frydman C, Hartzmark S M, Solomon D H. Rolling mental accounts［J］. Review of Financial Studies, 2018, 31(1): 362-397.
［29］ Heimer R Z. Peer pressure: social interaction and the disposition effect［J］. Review of Financial Studies, 2016, 29(11): 3177-3209.
［30］ Li Jie, Massa M, Zhang Hong, et al. Air pollution, behavioral bias, and the disposition effect in China［J］. Journal of Financial Economics, 2021,142(2):641-673.
［31］ Huang Jiekun, Xu Nianhang, Yu Honghai. Pollution and performance: do investors make worse trades on hazy days?［J］. Management Science, 2020, 66(10): 4359-4919.
［32］ Frydman C, Camerer C. Neural evidence of regret and its implications for investor behavior［J］. Review of Financial Studies, 2016, 29(11): 3108-3139.
［33］ Frydman C, Barberis N, Camerer C, et al. Using neural data to test a theory of investor behavior: an application to realization utility［J］. Journal of Finance, 2014, 69(2): 907-946.
［34］ Feng Lei, Seasholes M S. Do investor sophistication and trading experience eliminate behavioral biases in financial markets?［J］. Review of Finance, 2005, 9(3): 305-351.
［35］ Seru A, Shumway T, Stoffman N. Learning by trading［J］. Review of Financial Studies, 2010, 23(2): 705-739.
［36］张伟强, 王珺, 廖理. 中国个人权证投资者处置效应研究［J］. 清华大学学报(哲学社会科学版), 2011, 26(4): 112-122+160.Zhang Weiqiang, Wang Jun, Liao Li. The dispersion effect in Chinese individual investors’ option trading［J］. Journal of Tsinghua University (Philosophy and Social Sciences), 2011, 26(4): 112-122+160.
［37］王志强, 苏刚, 张泽. 投资者特征与处置效应——来自中国A股融资交易的证据［J］. 财经问题研究, 2016(11): 30-38.Wang Zhiqiang, Su Gang, Zhang Ze. Investor characteristics and disposal effect: evidence from China’s A-share financing transactions［J］. Research on Financial and Economic Issues, 2016(11): 30-38.
［38］伍燕然, 黄文婷, 苏凇, 等. 基金投资者处置效应的个体差异［J］. 国际金融研究, 2016(3): 84-96.Wu Yanran, Huang Wenting, Su Song, et al. Individual differences of fund investors’ disposition effect［J］. Studies of International Finance, 2016(3): 84-96.
［39］肖琳, 赵大萍, 房勇. 中国融资融券业务处置效应的实证分析［J］. 中国管理科学, 2018, 26(9): 41-51.Xiao Lin, Zhao Daping, Fang Yong. An empirical analysis on disposition effect of Chinese margin trading［J］. Chinese Journal of Management Science, 2018, 26(9): 41-51.
［40］武佳薇, 汪昌云, 陈紫琳, 等. 中国个人投资者处置效应研究——一个非理性信念的视角［J］. 金融研究, 2020(2): 147-166.Wu Jiawei, Wang Changyun, Chen Zilin, et al. A study of disposition effect among China’s individual investors: the perspective of irrational beliefs［J］. Journal of Financial Research, 2020(2): 147-166.
［41］孙毅, 程晴, 金全, 等. 社会互动对投资者处置效应的影响——基于社交投资平台模拟交易的实证研究［J］. 管理评论, 2020, 32(10): 72-82.Sun Yi, Cheng Qing, Jin Quan, et al. The impact of social interaction on the disposition effect of individual investors: empirical analysis based on social trading platform［J］. Management Review, 2020, 32(10): 72-82.
［42］ Thaler R H. Toward a positive theory of consumer choice［J］. Journal of Economic Behavior and Organization, 1980, 1(1): 39-60
［43］ Thaler R H. Mental accounting matters［J］. Journal of Behavioral Decision Making, 1999, 12(3): 183-206.
［44］ French K R, Poterba J M. Investor diversification and international equity markets［J］. American Economic Review, 1991, 81(2): 222-226.
［45］ Chan K, Covrig V, Lilian N G. What determines the domestic bias and foreign bias? Evidence from mutual fund equity allocations worldwide［J］. Journal of Finance, 2005, 60(3): 1495-1534.
［46］ Van Nieuwerburgh S, Veldkamp L. Information immobility and the home bias puzzle［J］. Journal of Finance, 2009, 64(3): 1187-1215.
［47］ Bodnaruk A. Proximity always matters: local bias when the set of local companies changes［J］. Review of Finance, 2009, 13(4): 629-656.
［48］ Jacobs H, Weber M. The trading volume impact of local bias: evidence from a natural experiment［J］. Review of Finance, 2012, 16(4): 867-901.
［49］ Grinblatt M, Keloharju M. How distance, language, and culture influence stockholdings and trades［J］. Journal of Finance, 2001, 56(3): 1053-1073.
［50］ Ivkovic＇ Z, Weisbenner S. Local does as local is: information content of the geography of individual investors’ common stock investments［J］. Journal of Finance, 2005, 60(1): 267-306.
［51］ Seasholes M S, Zhu Ning. Individual investors and local bias［J］. Journal of Finance, 2010, 65(5): 1987-2010.
［52］ Branikas I, Hong H, Xu Jiangmin. Location choice, portfolio choice［J］. Journal of Financial Economics, 2020, 138(1): 74-94.
［53］李延喜, 高锐, 杜瑞. 投资者特征与投资组合中的地缘效应研究［J］. 现代管理科学, 2010(10): 13-15.Li Yanxi, Gao Rui, Du Rui. A study on investor characteristics and geographical effects in portfolios［J］. Modern Management Science, 2010(10): 13-15.
［54］胡培培, 李莉莉. 股市投资者地域性偏好的实证分析——以青岛市投资者为例［J］. 青岛大学学报(自然科学版), 2012, 25(4): 78-81.Hu Peipei, Li Lili. An empirical analysis of investors’ local bias in China stock market: based on Qingdao investors［J］. Journal of Qingdao University (Natural Science Edition), 2012, 25(4): 78-81.
［55］ Dskeland T M, Hvide H K. Do individual investors have asymmetric information based on work experience?［J］. Journal of Finance, 2011, 66(3): 1011-1041.
［56］ Keloharju M, Knüpfer S, Linnainmaa J. Do investors buy what they know? Product market choices and investment decisions［J］. Review of Financial Studies, 2012, 25(10): 2921-2958.
［57］ Ben-David I, Birru J, Rossi A. Industry familiarity and trading: evidence from the personal portfolios of industry insiders［J］. Journal of Financial Economics, 2019, 132(1): 49-75.
［58］ Holliday J, Fuller P. The psychology of gambling［M］. New York: Harper and Row Publishers, 1975.
［59］ Brenner R. History-the human gamble［M］. Chicago: University of Chicago Press, 1983.
［60］ Walker M. The psychology of gambling［M］. Oxford: Pergamon Press, 1992.
［61］ Barberis N, Huang Ming. Stocks as lotteries: the implications of probability weighting for security prices［J］. American Economic Review, 2008, 98(5): 2066-2100.
［62］ Kumar A. Who gambles in the stock market?［J］. Journal of Finance, 2009, 64(4): 1889-1933.
［63］ Kumar A, Page J K, Spalt O G. Religious beliefs, gambling attitudes, and financial market outcomes［J］. Journal of Financial Economics, 2011, 102(3): 671-708.
［64］ Gao Xiaohui, Lin T C. Do individual investors treat trading as a fun and exciting gambling activity? Evidence from repeated natural experiments［J］. Review of Financial Studies, 2015, 28(7): 2128-2166.
［65］廖理, 梁昱, 张伟强. 谁在中国股票市场中“博彩”?——基于个人投资者交易数据的实证研究［J］. 清华大学学报(自然科学版), 2016, 56(6): 677-684.Liao Li, Liang Yu, Zhang Weiqiang. Who gambles in the Chinese stock market? Evidence from individual investor trading data set［J］. Journal of Tsinghua University (Science and Technology), 2016, 56(6): 677-684.
［66］陈文博, 陈浪南, 王升泉. 投资者的博彩行为研究——基于盈亏状态和投资者情绪的视角［J］. 中国管理科学, 2019, 27(2): 19-30.Chen Wenbo, Chen Langnan, Wang Shengquan. Investors’ gambling behavior: a perspective from profit/loss condition and investor sentiment［J］. Chinese Journal of Management Science, 2019, 27(2): 19-30.
［67］ Tversky A, Kahneman D. Advances in prospect theory: cumulative representation of uncertainty［J］. Journal of Risk and Uncertainty, 1992, 5(4): 297-323.
［68］ Banerjee A V. A simple model of herd behavior［J］. Quarterly Journal of Economics, 1992, 107(3): 797-817.
［69］ Shiller R J. Stock prices and social dynamics［J］. Brookings Papers on Economic Activity, 1984(2): 457-510.
［70］ Baker W E. The social structure of a national securities market［J］. American Journal of Sociology, 1984, 89(4): 775-811.
［71］ Shiller R J, Pound J. Survey evidence on diffusion of interest and information among investors［J］. Journal of Economic Behavior and Organization, 1989, 12(1): 47-66.
［72］ Pelster M, Hofmann A. About the fear of reputational loss: social trading and the disposition effect［J］. Journal of Banking and Finance, 2018, 94: 75-88.
［73］ Gemayel R, Preda A. Does a scopic regime erode the disposition effect? Evidence from a social trading platform［J］. Journal of Economic Behavior and Organization 2018, 154: 175-190.
［74］刘宏, 马文瀚. 互联网时代社会互动与家庭的资本市场参与行为［J］. 国际金融研究, 2017(3): 55-66.Liu Hong, Ma Wenhan. Social interaction and family participation in capital market in the Internet Age［J］. Studies of International Finance, 2017(3): 55-66.
［75］ Barber B M, Odean T. The courage of misguided convictions［J］. Financial Analysts Journal, 1999, 55(6): 41-55.
［76］ Grinblatt M, Keloharju M. Sensation seeking, overconfidence, and trading activity［J］. Journal of Finance, 2009, 64(2): 549-578.
［77］李心丹, 王冀宁, 傅浩. 中国个体证券投资者交易行为的实证研究［J］. 经济研究, 2002(11): 54-63+94.Li Xindan, Wang Jining, Fu Hao. Investigations on the transaction behaviors of Chinese individual securities investors［J］. Economic Research Journal, 2002(11): 54-63+94.
［78］廖理, 贺裴菲, 张伟强, 等. 中国个人投资者的过度自信和过度交易研究［J］. 投资研究, 2013, 32(8): 35-46.Liao Li, He Peifei, Zhang Weiqiang, et al. The study on overconfidence and overtrading of Chinese individual investors［J］. Review of Investment Studies, 2013, 32(8): 35-46.
［79］高铭, 江嘉骏, 陈佳, 等. 谁说女子不如儿郎？——P2P 投资行为与过度自信［J］. 金融研究, 2017(11): 96-111.Gao Ming, Jiang Jiajun, Chen Jia, et al. Gender effect: overconfidence and P2P investor behavior［J］. Journal of Financial Research, 2017(11): 96-111.
［80］ Lakonishok J, Shleifer A, Vishny R W. The impact of institutional trading on stock prices［J］. Journal of Financial Economics, 1992, 32(1): 23-43.
［81］ Chang E C, Cheng J W, Khorana A. An Examination of herd behavior in equity markets: an international perspective［J］. Journal of Banking and Finance, 2000, 24(10): 1651-1679.
［82］ Jegadeesh N, Kim W. Do analysts herd? An analysis of recommendations and market reactions［J］. Review of Financial Studies, 2010, 23(2): 901-937.
［83］ Zhang Juanjuan, Liu Peng. Rational herding in microloan markets［J］. Management Science, 2012, 58(5): 892-912.
［84］李悦雷, 郭阳, 张维. 中国P2P小额贷款市场借贷成功率影响因素分析［J］. 金融研究, 2013(7): 126-138.Li Yuelei, Guo Yang, Zhang Wei. The analysis of impact factors on loan performance in Chinese P2P microfinance market［J］. Journal of Financial Research, 2013(7): 126-138.
［85］廖理, 向佳, 王正位. P2P借贷投资者的群体智慧［J］. 中国管理科学, 2018, 26(10): 30-40.Liao Li, Xiang Jia, Wang Zhengwei. Wisdom of crowds from P2P lending investors［J］. Chinese Journal of Management Science, 2018, 26(10): 30-40.
［86］ Calvet L E, Campbell J Y, Sodini P. Fight or flight? Portfolio rebalancing by individual investors［J］. Quarterly Journal of Economics, 2009, 124(1): 301-348.
［87］ Calvet L E, Campbell J Y, Sodini P. Measuring the financial sophistication of households［J］. American Economic Review, 2009, 99(2): 393-398.
［88］ Cole S, Paulson A, Shastry G K. Smart money? The effect of education on financial outcomes［J］. Review of Financial Studies, 2014, 27(7): 2022-2051.
［89］ Betermier S, Calvet L E, Sodini P. Who are the value and growth investors?［J］. Journal of Finance, 2017, 72(1): 5-46.
［90］ Black S E, Devereux P J, Lundborg P, et al. Learning to take risks? The effect of education on risk-taking in financial markets［J］. Review of Finance, 2018, 22(3): 951-975.
［91］ Brown M, Henchoz C, Spycher T. Culture and financial literacy: evidence from a within-country language border［J］. Journal of Economic Behavior and Organization, 2018, 150: 62-85.
［92］ Black S E, Devereux P J, Lundborg P, et al. Poor little rich kids? The role of nature versus nurture in wealth and other economic outcomes and behaviours［J］. Review of Economic Studies, 2020, 87(4): 1683-1725.
［93］ Byder J, Agudelo D A, Arango I. Gender matters most. the impact on short-term risk aversion following a financial crash［J］. Review of Financial Economics, 2019, 37(1): 106-117.
［94］ Barnea A, Cronqvist H, Siegel S. Nature or nurture: what determines investor behavior?［J］. Journal of Financial Economics, 2010, 98(3): 583-604.
［95］ Cesarini D, Johannesson M, Magnusson P K E, et al. The behavioral genetics of behavioral anomalies［J］. Management Science, 2012, 58(1): 21-34.
［96］ Cronqvist H, Siegel S. The genetics of investment biases［J］. Journal of Financial Economics, 2014, 113(2): 215-234.
［97］ Grinblatt M, Keloharju M, Linnainmaa J T. IQ, trading behavior, and performance［J］. 2012, 104(2): 339-362.
［98］ Calvet L E, Sodini P. Twin picks: disentangling the determinants of risk-taking in household portfolios［J］. Journal of Finance, 2014, 69(2): 867-906.
［99］ Cronqvist H, Siegel S, Yu F. Value versus growth investing: why do different investors have different styles?［J］. Journal of Financial Economics, 2015, 117(2): 333-349.
［100］ Cronqvist H, Siegel S. The origins of savings behavior［J］. Journal of Political Economy, 2015, 123(1): 123-169.
［101］ Black S E, Devereux P J, Lundborg P, et al. On the origins of risk-taking in financial markets［J］. Journal of Finance, 2017, 72(5): 2229-2278.

[1]	Sicong Cheng,Tianyi Wang. Overnight Information and Option Pricing Model [J]. Chinese Journal of Management Science, 2024, 32(9): 1-10.
[2]	Xinyu Wu,Haibin Xie,Chaoqun Ma. Economic Policy Uncertainty and Renminbi Exchange Rate Volatility: Evidence from CARR-MIDAS Model [J]. Chinese Journal of Management Science, 2024, 32(8): 1-14.
[3]	Xiaojian Yu,Guopeng Liu,Jianlin Liu,Weilin Xiao. Stock Index Prediction Based on LSTM Network and Text Sentiment Analysis [J]. Chinese Journal of Management Science, 2024, 32(8): 25-35.
[4]	Xuanming Ni,Tiantian Zheng,Huimin Zhao,Kangping Wu. Asset Pricing Based on the Optimal Idiosyncratic Return Factor [J]. Chinese Journal of Management Science, 2024, 32(8): 50-60.
[5]	Yi Cai,Zhenpeng Tang,Junchuang Wu,Xiaoxu Du,Kaijie Chen. Research on the Application of GWO-SVR Algorithm in the Prediction of Reverse Mixed Data in Stock Market and Investment Strategy [J]. Chinese Journal of Management Science, 2024, 32(5): 73-80.
[6]	Xuetong Zhang,Weiguo Zhang,Chao Wang. Tail Risks in Developed and Emerging Markets——Test of Spillover, Contagion and Contagion Determinants [J]. Chinese Journal of Management Science, 2024, 32(4): 14-25.
[7]	Haiyuan Yin,Wenjuan Kou. Investor Sentiment Based on Naive Bayes Method and Its Impact on Stock Idiosyncratic Risk [J]. Chinese Journal of Management Science, 2024, 32(4): 38-47.
[8]	Xinyu Wu,Xiaoqing Jiang,Xindan Li,Chaoqun Ma. The Pricing of SSE 50 ETF Options with Realized EGARCH-FHS Model [J]. Chinese Journal of Management Science, 2024, 32(3): 105-115.
[9]	Qianqian Feng,Xiaolei Sun,Jun Hao. Dynamic Ensemble Time Series Forecasting Model Based on Regime-switching Regression [J]. Chinese Journal of Management Science, 2024, 32(2): 307-314.
[10]	Jiliang Sheng,Yi Huang,Juchao Li. Research on the Correlation Between Industry Risk and Industry Network Structure in China [J]. Chinese Journal of Management Science, 2024, 32(2): 199-209.
[11]	Lan Bai,Yu Wei. Information Spillovers between Investor's Public Health Emergency Attention and Industrial Stocks: Empirical Evidence from TVP-VAR Model [J]. Chinese Journal of Management Science, 2024, 32(1): 54-64.
[12]	Bin MENG,Rong-wen-jun LIAN,Cong SUI,Hai-bo KUANG. Do Major Events Affect the Stability of Shipping Market Spillover and Transmission? [J]. Chinese Journal of Management Science, 2023, 31(11): 46-57.
[13]	Ming-tao WANG,Qian LI. Does Margin Trading System Reduce the Degree of Information Asymmetry in Stock Trading? ————Evidence from the Chinese Stock Market [J]. Chinese Journal of Management Science, 2023, 31(10): 1-11.
[14]	Yan-lu GUO,Gong-li LUO,Gui-sheng HOU,Xiao-tong WANG. “Good Shopping Decisions” and “Bad Shopping Decisions”: Research on the Quality Issues and Governance of Internet Celebrity Live Marketing [J]. Chinese Journal of Management Science, 2023, 31(10): 162-174.
[15]	Yi FENG,Du-juan WANG,Zhi-neng HU,Shao-ze CUI. Prediction Method for Gastric Cancer Survivability Based on an Improved LightGBM Ensemble Model [J]. Chinese Journal of Management Science, 2023, 31(10): 234-244.

From “A Peek” to “A Strategic View”: Individual Investor Behaviors in the Age of Big Data

PDF (PC)

Knowledge

Abstract

Cite this article

share this article

References

Related Articles 15

Metrics

Comments

Recommended 0