Why Investors Do not Buy Cheaper Securities? An Analysis of Trading by Individual Investors in Chinese Stock Market
Based on detailed trade records of individual investors who participated in both China’s A- and B- share markets, we find investors are more likely to buy A (B) shares when the A-share premium is lower (higher), when they have already held the same firm’s A (B) shares, when they have previously traded the same firm’s A (B) shares and when their A-share portfolio outperforms B-share portfolio. Given that the correlation between the same firm’s A and B shares is below 70％ and that A shares are more expensive, it is sensible for investors to invest more into the B shares. Our evidence suggests that investors accept a less than optimal portfolio due to lack of investment experience.
A/B share prices under-diversification familiarity narrow framing
Kalok Chan Baolian Wang Zhishu Yang
Department of Finance Hong Kong University of Science and Technology Clear Water Bay, Hong Kong School of Economics and Management, Tsinghua University Beijing, 100084, China
国际会议
广州
英文
1-36
2009-07-07（万方平台首次上网日期，不代表论文的发表时间）