关键词: 处置效应, 生存分析, Cox比例模型

Abstract: Investors often behave in irrational ways when making decisions in financial markets. It is important to answer the question of how to help investors learn their ways out of the irrational behavior patterns. Based on survival analysis method and COX 's proportional hazard model, this study investigates the probability of fund investors redemption. Not only can this model avoid setting a specific probability distribution for survival time, but also provide a convenient way to involve the time-dependent covariates to test the changes to the survival time due to a change in an independent variable. Using trading data for 6,290 institutional investors and 1,014,425 individual investors from 2002 to 2010, we find that investor sophistication and trading experiences can greatly alleviate and even eliminate their behavior biases in financial markets. We further document that the impact of investor sophistication and trading experiences on the disposition effect is asymmetric.

Key words: Disposition Effect, Survival Analysis, Cox’s Proportional Hazard Regression Model