CAJ | 학술논문

从IPO交易量入手，利用市场公开信息，研究投资者心理参考价格以及卖赢持亏的行为倾向（即处置效应），并在此基础上检验了处置效应的时间特征。研究结果表明，我国投资者的行为具有处置效应，投资者对首发上市股票的心理参考价格定位在1．5倍发行价；样本期间内存在年度、月份处置效应，投资者的卖赢持亏程度表现出时间差异；政策环境对投资者的卖赢持亏倾向有影响，在利好的环境下，投资者的参考价格相应提高，表现出较强的处置效应。
종IPO교역량입수，이용시장공개신식，연구투자자심리삼고개격이급매영지우적행위경향（즉처치효응），병재차기출상검험료처치효응적시간특정。연구결과표명，아국투자자적행위구유처치효응，투자자대수발상시고표적심리삼고개격정위재1．5배발행개；양본기간내존재년도、월빈처치효응，투자자적매영지우정도표현출시간차이；정책배경대투자자적매영지우경향유영향，재리호적배경하，투자자적삼고개격상응제고，표현출교강적처치효응。
The disposition effect was studied using the market information published publically and the time characters of the disposition effect were tested. The results show that the disposition effect exists in Chinese investors, in which there are the differences in the time; the reference price of IPO is 1.5 times of the offering price; the economical environments can affect the disposition effect; and the investors express their stronger disposition effect when the environment is favorable.