Topic：V-shape Disposition Effect and Rank Effect in Chinese Stock Market

 

Time: 14:00 PM, October 21, 2019 

Location: 1722, Rear Main Building 

Host: Professor Hu Haifeng 

Speaker: Han Dun

 

Brief Introduction of Lecture:

This paper analyzes whether V-shape disposition effect and rank effect exist in Chinese stock market. We use a sample of 100,000 individual investors with more than 56 million daily holding records from January 2007 to May 2009, which enable us to compare individuals’ trading behavior during the booming, crashing, and recovering period of the financial crisis. After controlling for firm-specific information, holding period, the level of returns itself, and individual heterogeneity, we find that V-shape disposition is closely related to the holding period. When holding period is short, V-shape disposition is significant on the gain side, while it is not for long-term positions. Rank effect is also different in Chines market. Compared with investors in the US market, Chinese investors are more likely to sell a position with extreme good (the best) performance, and followed by the 2nd best position, but reluctant to sell the salience of extreme bad portfolio positions. This result is robust under different specifications, for example, different modelling method, extreme portfolio situation, measurement of rank and limit-down limitation, etc., and consistent in different time periods.

 

 

 

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