프로스펙트 이론의 손실회피현상이 기관투자자들의 매도행태에 미치는 영향

• 영문명: An empirical study on the institutional investors disposition effect by loss aversion of prospect theory
• 발행기관: 동국대학교 경영연구원
• 저자명: 한진수 조상기
• 간행물 정보: 『경영과 사례연구』제31권 제1호, 1~22쪽, 전체 22쪽
• 주제분류: 사회과학 > 사회과학일반
• 파일형태: PDF
• 발행일자: 2008.06.30

영문 초록

This research investigates institutional investors investment behavior, focusing on the disposition effect which is based on the prospect theory s asymmetric value function. The disposition effect refers to the tendency to sell stocks that have appreciated in price, winners, and the reluctance to sell those that have depreciated below their purchase price, losers. Empirical study shows most investors have significant preference for realizing winners than losers, and the preference, disposition effect, is in general. The potential for irrational trading, however, has been ignored, perhaps because Institutional investors are viewed as professionals who are above behavioral bias. We investigated whether such an asymmetric investor behavior also exists in especially the fund which is managed by Asset Management Company or not. Futhermore We divided the fund size with more than 10 billion or less than 10 billion as the amount prescribed by the ordinance of the Ministry of Finance and Economy continuously for 1 month. Also We separated the fund with open-end fund or closed-end fund as whether additional creation and redemption is able or not. Several interesting result are found. First, Disposition effect existed in general among most of funds like those from previous studies in a professional group. Second, Disposition effect of larger sized fund and closed-end fund are smaller than small sized fund and open-end fund. Our findings may make a contribution to the literature that try to examine a new investment technique and those who try to select a variety of stocks typed funds.

목차

Ⅰ. 서론

Ⅱ. 이론적 배경 및 선행연구

Ⅲ. 연구가설

Ⅳ. 연구방법

Ⅴ. 실증분석 결과

Ⅵ. 결론

참고문헌