Investors' trading behavior in boom and bust markets

繁荣和萧条市场中投资者的交易行为

• 批准号: 427318789
• 负责人: Professor Dr. Martin Weber
• 金额: --
• 依托单位: Lehrstuhl Seniorprofessor Weber
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2019
• 资助国家: 德国
• 起止时间: 2018-12-31 至 2023-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/427318789?language=en
• 关键词: Investors; trading; behavior; boom; bust; Investors; trading; behavior; boom; bust

Since the recent global financial crisis and its aftermath, macroeconomic cycles of financial markets are increasingly subject of major discussions. While the crisis itself gave rise to a call for greater consumer protection, little is known about the underlying drivers of how macroeconomic shocks affect investors’ beliefs and preferences (i.e. their risk aversion) and consequently, how macroeconomic shocks affect individual investors’ trading behavior. With our research proposal we aim to contribute to this ongoing debate. More precisely, we seek to answer two central questions. First, how is the trading of individual investors affected by macroeconomic cycles (i.e. boom and bust markets)? Second, are differences in trading behavior across boom and bust markets driven by a change in investors’ risk preferences (i.e. their inherent risk attitude) or by a change in beliefs (i.e. their estimates about future risk/returns)?A deeper understanding of how and why individual investors trade differently across market cycles is of practical relevance and may provide important policy implications. Especially in the light of recent consumer protection efforts, it is essential to learn more about the underlying drivers of investment behavior. An example is the Markets in Financial Instruments Directive (MiFID) which requires investment firms to elicit customers risk preferences. However, there are no guidelines about how and how often risk profiles should be evaluated. In essence, we expect to obtain insights about the time dynamics of investors’ beliefs and preferences. This, in turn, allows us to make suggestions about how to improve the effectiveness of consumer protection policies. To do so, we propose a three-folded approach, which combines empirical and experimental analyses. In our first working project (WP1), we aim to empirically investigate if and how investors’ selling behavior is different across macroeconomic cycles. In particular, we study how the disposition effect, i.e. investors tendency to sell winners too early and hold losers too long, changes in boom and bust periods. In the second working project (WP2), we analyze the drivers of investment behavior across market conditions. More precisely, we aim to test experimentally whether differences in how investors learn to form beliefs between boom and bust markets explain the investment behavior.In our third working project (WP3), we will complement previous analyses on selling behavior by empirical and experimental investigations on buying behavior across boom and bust markets. We will focus on three types of reinvestment decisions in the analysis.Overall, we aim to provide a holistic analysis on trading behavior in boom and bust markets. Therefore, we first analyze how selling as well as buying behavior differ across macroeconomic cycles, and then test drivers (preferences vs. beliefs) causing the observed behavior. Methodological-wise, we combine empirical and experimental analyses.

自最近的全球金融危机及其后果以来，金融市场的宏观经济周期越来越多地讨论。尽管这场危机本身引起了人们的呼吁进行更大的消费者保护，但对宏观经济冲击如何影响投资者的信念和偏好（即他们的风险规避）的潜在驱动因素知之甚少，因此，宏观经济冲击如何影响个人投资者的交易行为。通过我们的研究建议，我们旨在为这一持续的辩论做出贡献。更确切地说，我们试图回答两个核心问题。首先，如何受到宏观经济周期影响的个人投资者的交易（即繁荣和萧条市场）？其次，由于投资者风险偏好的变化（即他们的继承风险态度）或信念的变化（即他们对未来风险/回报的估计的估计），跨动力和萧条市场的交易行为差异是否是对个人投资者在市场周期中如何和为什么提供实际相关性的贸易以及为重要的政策牵涉到重要政策的原因和为什么更深入地理解。特别是鉴于最近的消费者保护工作，必须更多地了解投资行为的基本驱动力。一个例子是金融工具指令（MIFID）的市场，要求投资公司引起客户风险偏好。但是，没有关于如何和多久评估风险概况的准则。从本质上讲，我们希望获得有关投资者信念和偏好时间动态的见解。反过来，这使我们可以就如何提高消费者保护政策的有效性提出建议。为此，我们提出了一种三重方法，结合了经验和实验分析。在我们的第一个工作项目（WP1）中，我们旨在从宏观经济周期中进行经验研究投资者的销售行为是否不同。特别是，我们研究了处置效应，即投资者如何过早地出售优胜者并使失败者的趋势太长，繁荣时期的变化。在第二个工作项目（WP2）中，我们分析了跨市场条件的投资行为驱动因素。更确切地说，我们旨在通过实验测试投资者如何在繁荣和胸围市场之间形成信念的差异来解释投资行为。在我们的第三个工作项目（WP3）中，我们将通过对跨繁荣和萧条市场的购买行为进行经验和实验投资进行销售行为的先前分析。我们将重点关注分析中的三种再投资决策。除此之外，我们旨在就繁荣和萧条市场的交易行为进行整体分析。因此，我们首先分析了在宏观经济周期之间的销售和购买行为如何不同，然后测试驱动因素（偏好与信念）导致观察到的行为。从方法论方面，我们结合了经验和实验分析。