투자자들의 인지적 편의에 관한 소고

최 운 열* 정 성 훈**

< >

(behavioral finance) .

. 2. , (Cognitive)

, , (behavioral biases)

.1999 3 2003 2 (

) 1400 . Odean(1998) PGR, PLR .

, . ,

. , .

, .

: , , ,

1)

* **

2004 9 1

. ,

(anomaly) ,

(behavioral biases) .

.

. Svenson(1981)

.

, Kahneman and Tversky(1979)

(prospect theory)1) .

(loss aversion) (mental accounting)

.

,

S .

. ,

, .

1) ,

, (Tversky,

Sattath and Slovic, 1988). (Payne, Bettman and Johnson, 1992).

, 0 (convex)(concave) .

. , (reference) (perceptual framing) .

. , . (overweighting) . ,

. (coding), (combination), (cancellation).

< 1-1>

이익

가치(효용)

손실

Kahneman and Tversky(1979)

. , . ,

. ,

,

.

(behavioral finance)

.

(Cognitive) (Bias)2)

, Shefrin, and Stateman(1985)

,

Odean(1998)

2) . , ,

. .(Tversky, Bell and Raiffa, 1982).

2004 9 1

2

.

.

Olsen(1998) (Behavioral Finance)

. ,

.

.

Lakonishok and Smidt(1986)

. 1968 1982 NYSE

, 10%, 20% 30%

.

.

(mean reversion)

. ,

. ,

. ,

,

,

. ,

,

,

.

Harris(1988) (

)

.

.

.

Odean(1998) 10,000

,

(disposition effect) . ,

,

,

. 3)

.

12 .

3) . 12 (-) ,

. , 12 , .

2004 9 1

.

.

Weber and Camerer(1998)

. 6 , ,

. 1000DM , .

0.1% . ,

. ,

.

. Lichtenstein and

Slovic(1971) .

.

.

. , Tversky (1988)

.

,

. ,

( )

. Nowlis and Simonson(1997)

(rating) .

(choice)

(purchase likelihood rating) , (comparable)

(enriched) .

,

.

.

, Bazerman (1992) Ritov and Kahneman(1997)

.

. ,

, ,

. , , ,

,

. Odean(1999) ‘

?’ .

, . ,

(-) ,

(+) .

,

. ,

. ,

. Odean(1998)

, , .

,

.

. Raviv(1993) and Varian(1989)

. Greenwald

(1980) . , Talor and Brown

(1988)

.

2004 9 1

,

.

, ,

. , ,

,

. , , ,

. ,

,

.

Barber and Odean(2000)

.

. 1991 1997

, 35,000

. ,

45% ,

. , (-)

.

Gervais and Odean(2001)

.

,

.

,

. ,

,

. , , ,

.

, , ,

. .

,

.

.

. PGR4) PLR5) , PGR - PLR

.

, . ,

,

.

.

. ,

.

.

(bootstrapping)

. . (boot-

strapping) .

PLR-PGR (Random)

300 1000 , 0.05(5%) .

4) PGR (Proportion of Gains Realized) .5) PLR (Proportion of Losses Realized) .

2004 9 1

pShapiro-Wilk W 0.998266 Pr < W 0.4125Kolmogorov-Smirnov D 0.015087 Pr > D >0.1500Cramer-von Mises W-Sq 0.02846 Pr > W-Sq >0.2500Anderson-Darling A-Sq 0.245747 Pr > A-Sq >0.2500

Shapiro-Wilk 1 . , 0.998266

.

pShapiro-Wilk W 0.999014 Pr < W 0.8804Kolmogorov-Smirnov D 0.015097 Pr > D >0.1500Cramer-von Mises W-Sq 0.027796 Pr > W-Sq >0.2500Anderson-Darling A-Sq 0.202262 Pr > A-Sq >0.2500

Shapiro-Wilk 1 . , 0.999014

6) .

-0. 046 -0 . 0435 -0 . 041 -0 . 0385 -0 . 036 -0 .0 335 -0 .0 31 -0 .02 05 -0 .02 6 -0 .023 5 -0 .021 -0 . 0185 -0 . 016 -0 . 0135 -0 . 011 -0 . 0085

(m)

3.5

3.0

2.5

2.0

1.5

1.0

0.5

0

Percent

.

.

. 1999 3 2003 2

( ) 1400

“1”

. 1, 2, 3, 4, 5, 6, 7 200 1400

.

. , , 3

, . 189,156

.

. 1999 3 2003 2 .

200,000 , , , ,

. 1999 3 2002 2

, , . ,

. , 1999 3

7

6

5

4

3

2

1

0

Percent

- 0 . 0 0 2 9 1 - 0 . 0 0 2 8 3 - 0 . 0 0 2 7 5 - 0 0 2 6 7 - 0 . 0 0 2 5 9 - 0 . 0 0 2 5 1 - 0 . 0 0 2 4 3 - 0 . 0 0 2 3 5 - 0 . 0 0 2 2 7 - 0 . 0 0 2 1 9 - 0 . 0 0 2 1 1 - 0 . 0 0 2 0 3

(m)

2004 9 1

.

189,156

139,020 .

.

.

.

.

1 .

.

, 1 1 .

1 7), 12

1 PGR PLR

.

, ,

. 5 (A, B, C, D, E)

. A,B , C,D,E .

3 (F,G,H) , F,G , H

. A C .

F . A,F C

. B G , D,E,G

. 2

3

. PGR=1/2 PLR=1/4 .

7) 2000 2003 1 , 2001 20021 .

1 2positionsA,B,C,D,E F,G,H

A,B F,GC,D,E H

A,CF

1(B) 1(G)2(D,E) 1(H)1(A) 1(F)1(C) 0

PGR PLR

.

.

1 12

1 .

. ,

(prospect theory)

, (PGR)

(PLR) . .

Odean(1998) .

2004 9 1

(3-1)

(3-2)

PGR (Proportion of Gains Realized)

PLR (Proportion of Losses Realized)

RG (Realized Gains) PG (Paper gains)

RL (Realized Losses) PL (Paper Losses)

(3-3)

(3-4)

APGR (Amount Proportion of Gains Realized)

APLR (Amount Proportion of Losses Realized)

ARG (Amount of Realized Gains)

APG (Amount of Paper Gains)

ARL (Amount of Realized Losses)

APL (Amount of Paper Losses)

2 t- .

. t - .

t

PLR PGR

, , ,

.

. ,

, , .

.

.

. ,

.

,

,

.

. (T = 88,256)

KOSPI200

(T = 88,256) KOSPI200

. ,

, .

. 1999 3 2000 2

( ) 1400

2004 9 1

.

1999 3 1 2000 2 28 8) 1 (256 ) ,

KOPSI200 .

1

9).

.

( ) (T = 88, 256) ( )

, ( N ) ( ) .

.

( ) , ( ) .

( ) T .

(3-5)

= 1 T P .

= T J .

= T KOSPI200 .

( )

,

,

, .

8) 2001 3 , .

9) , , (2003) , 6 , .

.

.

(1 )

, Odean .

< 4-1> 4 PGR PLR ,

2 ~ 12 1 .

. 1

t -1.65 .

p 0.01 , t -1.65 -3.216

1 . 2

t -1.65 . 1 , 2 ~ 12

p 0.01 , t 1.83, 2.87

. 1 2 ~ 12 PLR-PGR

. PLR/PGR 1 2 ~ 12

. 2 .

2004 9 1

1 2 ~ 12PLR 0.159 0.105 0.154PGR 0.177 0.146 0.180

PLR-PGR -0.018 -0.041 -0.026PLR/PGR 1.175 1.388 1.162t-statistic -3.216 -1.83 -2.87

< 4-1> PGR PLR . 1999 3 ~ 2003 2

. 189,156

139,020 .

, 527 (527 ) .

15,504 , 21,064 ,

34,463 , 45,235 .

< 4-2> 4 PGR PLR

. PGR PLR

.

.

p 0.01 , t 1.65 15.76

.

PLR 0.165PGR 0.175PLR-PGR 0.010PLR/PGR 1.060t-statistic 15.76

10) (1999. 3 ~ 2003. 2 ) , , , , 69% .

83% .

< 4-2> PGR PLR . 1999 3 ~

2003 2 . 189,156

139,020 .

< 4-3> 4 PGR PLR

. 30% 70%11)

PGR/PLR . , 30%

70% .

p 0.01 , t 1.65 2.96, 3.58

.

70% 30%PLR 0.155 0.211PGPGR 0.174 0.252PLR-PGR 0.019 0.041PGR/PLR 1.1226 1.194t-statistic 2.96 3.58

< 4-3> PGR PLR . 1999

3 ~ 2003 2 . 189,156

139,020 .

30% , 174

(174 ) . , 70%

, 406 (406 ) .

< 4-4> 4 PGR PLR

. PLR/PGR

11) 30%30% .

2004 9 1

.

. p 0.01

, t 1.65 4.33 .

PLR 0.200PGPGR 0.275PLR-PGR 0.075PLR/PGR 1.379t-statistic 4.33

< 4-4> PGR PLR . 1999

3 ~ 2003 2 . 189,156

50,180 .

,

. < 3>

P 0.001 3 . < 1>

. ,

. ,

. Odean(1998)

,

( ) .

N( ) 88 25619,914 -6.8% -11.7%13,619 -6.5% -11.0%

-0.3% -0.7%P 0.001 0.001

시장평균조정수익률매수-매도

-0.01

-0.008

-0.006

-0.004

-0.002

0

0.002

0.004

1 31 61 91 121 151 181 211 241 기간(일)

수익률

< 4-1> 1 (1999.3 ~ 2000.2) , . 1

1 .

,

. ,

( )

,

.

2 . ,

,

. ,

, 1 . ,

2004 9 1

.

Baber and Odean(2000)

. ,

, ,

. Lenny(1977)

.

. .

,

,

.

. ,

, , , , ,

, . ,

(mean reversion)

. ,

,

. ,

( )

,

.

1. , , “

,” 32(6), 2003.

2. Barber, Brad M. and Terrance Odean, “Trading is Hazardous to Your Wealth: The

Common Stock Investment Performance of Individual Investors,” Journal of Finance

LV(2), 2000, 773-806.

3. Bazerman, M. H., Loewenstein, G. F. and S. B. White, “Reversals of Preference in

Allocation Decision: Judging an Alternative versus Choosing among Alternatives,”

Administrative Science Quarterly 37, 1992, 220-240.

4. Gervais, Simon and Terrance, Odean, “Leaning to be overconfident,” Review of

Financial studies 53, 2001, 1-27.

5. Greenwald, Anthony G., “The Totalitarian Ego Fabrication and Revision of Personal

History,” American Psychologist 35(7), 1980, 603-618.

6. Harris, Lawrence, “Discussion of predicting contemporary volume with historic volume

at differential price levels: Evidence supporting the disposition effect,” Journal of

Finance 43, 1988, 473-506.

7. Kahnenman, Daniel and Amos Tversky, “Prospect Theory: An Analysis of Decision

Under Risk,” Econometrica 47(2), 1979, 263-291.

8. Lakonishok, Josef and Seymour Smidt, “Volume for winners and losers: Taxation and

other motives for stock trading,” Journal of Finance 41, 1986, 951-974.

9. Lenney, Ellen, “Women’s Self-Confidence in Achievement Setting,” Psychological

Bulletin 84(1), 1977, 1-13.

10. Lichtenstein, S. and Paul Slovic, “Reversal of Preference Between Bids and Choices in

Gambling Decisions,” Journal of Experimental Psychology 89, 1971, 46-55.

11. Nowlis, Stephen M. and Itamar Simonson, “Attribute-Task Compatibility as a Determinant

of Consumer Preference Reversals,” Journal of Marketing Research 1997, 205-218.

12. Odean, Terrance, “Are Investors Reluctant to Realize Their Losses?,” Journal of

2004 9 1

Finance 3(5), 1998, 1775-1798.

13. Odean, Terrance, “Do Investors Trade Too Much?,” American Economic Review 89(5),

1999, 1279-1298.

14. Payne, J. W., J. R. Bettman and E. J. Johnson, “Behavioral Decision Research: A Con-

structive Processing Perspective,” Annual Review of Psychology 43, 1992, 87-131.

15. Ritov, I. and D. Kahneman, “How people value the environment?,” In: Bazerman, M.

H., Messick, D. M., Tenbunsel A. E., Wade-Benzoni K. A. (Eds), Environment, Ethics,

and Behavior, New Lexington Press, San Francisco, CA., 1997.

16. Shefrin, Hersh and Meir Stateman, “The disposition sell winners too early and ride

losers too long: Theory and evidence,” Journal of Finance 40, 1985, 777-790.

17. Svenson, Ola,” Are We ALL Less Risky and More Skillful Than Our Fellow Drivers,”

Acta Psychologica 47, 1981, 143-148.

18. Talor, Shelley, and Jonathon D. Brown. “Illusion and Well-Being,” Psychological

Bulletin 103(2), 1988, 193-210.

19. Tversky, A., H. Raiffa and D. Bell, “Decision Making; Descriptive, normative and

prescriptive interactions,” Cambridge Univ, Press, 1982.

20. Tversky, A., S. Sattath and P. Slovic, “Contingent Weighting in Judgment and Choice,”

Psychological Review 95, 1988, 371-384.

21. Varian, Hal R., “Differences of Opinion in Financial Markets,” MA: Kluwer Academic

Publishers, 1989, 3-37.

매수시장조정수익률

-0.08

-0.07

-0.06

-0.05

-0.04

-0.03

-0.02

-0.01

0

1 11 21 31 41 51 61 71 81

기간(일수)

수익률

매수시장조정수익률

-0.14

-0.12

-0.10

-0.08

-0.06

-0.04

-0.02

0.00

1 31 61 91 121 151 181 211 241

기간(일수)

수익률

2004 9 1

매도시장조정수익률

-0.07

-0.06

-0.05

-0.04

-0.03

-0.02

-0.01

0

1 11 21 31 41 51 61 71 81

기간(일수)

수익률

매도시장조정수익률

-0.14

-0.12

-0.1

-0.08

-0.06

-0.04

-0.02

0

1 31 61 91 121 151 181 211 241

기간(일수)

수익률

< Abstract >

Woon Youl Choi·Seong Hoon Jeong

The basic objective of this paper is to clarify the possibility of Cognitive biases of the individual investors stock trading and putting themselves into a behavioral biases through the stock trading as well. Regarding the above objective, we also attempt to examine the possibility of getting the disposition effect and overconfidence as a part of the behavioral finance through the individual investors stock trading in the korea stock market . In order to make clear that it is possible in the korea stock market for the individual investors to have the disposition effect and overconfidence, The major mechanism is based on the prospect theory.

The analysis materials of this paper are extensively collected by the securities company. The cyber accounts of 1400 clients among the accounts traded in from the march of 1999 to February of 2003 (the accounts more than one a year at least) was selected random sampling. As a result, this study verified that the invested assets were decreased by the Cognitive biases of the individual investors.