The Affection Of Unexpected Return On Change Of Reference Point

The research of behavioral finance presents that, in financial market investors’ judgment and decision making process will be influenced involuntary by various psychology including cognitive process, emotional process, will process, in order to fall into cognitive trap and bring about general cognitive bias. However,"disposition effect" is investors tend to hold the stocks which has arisen loss in his account for an extended period of time, and to prematurely sell the earnings-generated stocks. The difference with traditional finance is that investors in this thesis are irrational.Research of reference points and disposition effect helps to grasp investors’trading behavior, and has the important meaning to improve investors’rationality, promote the market efficiency. As I know, the securities market in our country has short history, lacks experience, and do not establish a perfect management system, furthermore, the investment concept and psychology still have not been formed with comparatively mature style, and asymmetric information situation exists commonly.The domestic literatures of disposition effect are relatively more, but they seldom use the market data and experimental design to do empirical research, and most intend to use data from personal accounts instead of market data. Moreover, the study of change of reference point is extremely less and the change direction of reference point is not nearly involved in the range of my reading.In this paper, stocks from the Shanghai stock exchange and Shenzhen stock exchange A-share market were made of sample, they included ones which are based on data from April2006to December2009, ruled out the data in the financial sector, ruled out the stock by ST, PT stocks and ones whose continuous time was less than10quarters. According to all sample, we can Analyze whether the reference point would change with the specific events happened and whether the different genders would have different influence on disposition effect.Firstly, this paper used parameters to verify exists of the disposition effect on the market, investors’reference point would change according to the specific events, and women were more obvious than men in the disposition effect. Then non-parametric test was used as feasibility test and results also showed that investors’reference point would change according to the specific events, and women in the disposal reflected, were more obvious than men.Furthermore, this essay verified previous empirical results in the questionnaire. The survey results were the same with empirical test results, that is, the reference points would vary according to the company’s specific events, and women were more significant in the disposal reflected than men.