自1980年代以来,前景理论已被证明在各种市场中具有预测能力.以往的文献表明,个人投资者在做出投资决策时更多地依赖于他们的直觉.本文以股权分置改革作为外生冲击,利用中国A股数据直接检验前景理论的预测能力.实证证据一致表明,前景理论对中国A股的个股收益具有显著的预测能力,尤其是对个人投资者占主导地位的非国有企业.与西方市场上的发现所不同的是,前景理论的所有三个组成部分(损失厌恶、概率加权和凹凸性)都对前景理论的预测能力有显著贡献.股权分置改革后,前景理论及其三个组成部分对于个股收益的预测能力较股权分置改革前更强,这一预测能力的增强对于国有企业尤为显著.

Since the 1980s, prospect theory has been showed to have predictive power in various markets. Previous literature suggest that individual investors rely more on their intuition when making investment decisions. In this paper, using equity division reform as exogenous shock and Chinese stock market data, we directly test the predictive power of prospect theory. The empirical evidences consistently show that prospect theory has significant predictive power in Chinese stock market, especially for individual investors dominated Non-SOEs. Different from previous findings, all the three components of prospect theory significantly contribute to PTV's predictive power. After the equity division reform, the predictive power of prospect theory and its three components is much stronger, especially for SOEs.