Evolution Of Investors’ Decision Making,Investement Experience And Asset Pricing

In recent years,research on the evolution of investors’ decision-making behavior has become a hot and important topic.However,the evolution is a long-term changes in individual psychological activity,it is difficult to scale and continuing to capture this data,so the previous studies are unable to accurately describe the dynamic characteristics of the evolution in the real market.In the era of social media,more and more investors participate in the discussion in internet stock forums,among these,East Fortune stock forum as one of China’s most influential internet stock forum,recorded all participants posting information,this provides us the data basis of a direct and accurate observation for the investors‘ decision-making behavior.Based on this,we first use the data of guba forum to empirical study the evolution of Investors’ decision-making behavior and behavior of the stock market.Firstly,by constructing the attribute of investors’ decision making behavior,we study the relationship between the evolution of individual investors’ decision-making behavior and their investment returns,and test the robustness of the results.It is found that when the investor’s decision-making behavior changes,the stocks that are invested on that day and that are invested within one month after transformation will get a significant positive abnormal return within the next 60 trading days.The sample of changes in accordance with the investors’ decision making behavior further divided into the shift of fundamentals investment to technical investment,as well as the technical investment to fundamental investment,We found in these two cases,the stocks that are invested on change‘s day and that are invested within one month after the day will get a significant positive abnormal return within the next 60 trading days,and the cumulative abnormal return of the shift in fundamentals investment to technical investment is significantly higher than that of the shift in technical investment to fundamentals investment.In addition,the sample is divided into three groups change according to the times of the changes in investment decision-making behavior,we found that the the top group can obtain a better abnormal return within the next 60 trading days than the low groupAgain,through the construction the index of the investors‘ experence,we found that More experienced investors have better investment performance.The sample is further divided into two groups,one have changes of investment strategy and the other have no changes of investment strategies,two groups showed that more experience of investors have better investment performance,this means that the investors‘ experence in the internet stock forum is the process of effective learning,process rather than the process of simple reinforcement learning,investors can make better decisions with experience increasing.Finally,by construct the proportion of Chatistist and the proportion of noise trader according to the posting data,it is first time to use data to verify the relationship between different types of stock market traders and stock price volatility.We found that the higher proportion of technical traders on the trading day,the higher stock price volatility,and the higher proportion of noise traders on the trading day,the higher stock price volatility;Moreover,the influence of the proportion of chartistist on the stock price volotility in the SME board and the Second-board Market is higher than that of the Main board,and in the SME board and the Second-board Market,the impact of proportion of noise investors on the volatility of stock prices is higher than the main board market.