效应研究[」].管理科学,2005, 3Р(责任编辑:张曦)РAn Analysis on Disposition Effect of A-share Market InvestorsРHONG-MingshunРAbstract:Disposition effect is a irrational behavior caused by investors cognitive bias.РInvestors tend to sell profitable securities ahead, but Retain securitiesРlosses.Prospect Theory "S" type of cognitive function is advantageous from a utilityРfunction to explain the behavior of investors Disposition Effect .In order toРdemonstrate Chinese stock market disposition effect,we select A-shares week closingРindex to measure the volatility of stock prices,A-share accounts weekly number ofРpositions to describe the investor's disposition effect,and draw a conclusion: A-shareРmarket investors exist disposition effect.РKey words: Disposition Effect; Prospect Theory; A-share lndex;VAR model
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