개인투자자의 심리회계: 통합 및 분리매도를 통한 손익실현의 차별화현상

This study examines whether the trading behavior of individual investors in the Korean stock market follows prospect theory’s mental accounting principles. Our results show that individual investors’ selling decisions generally conform the mental accounting principles. Tvesky and Kahneman(1981) proposed prospect theory as an alternative theory of decisionmaking behavior under risk. They suggests that risk preferences are domain-specific; that is, latent risk preferences translate into differing manifest risk preferences according to the context. Domain-specific risk preference can be understood as a manifest psychological variable that may well be the result of the combination of latent risk propensity and the situation, such as trading gains and losses in stock investments. Thaler(1985) suggests four mental accounting principles driven from the value function of the prospect theory; segregation of gains, integration of losses, integration of smaller losses with larger gains, segregation of smaller gains(silver linings) from larger losses. Lim(2005) focused on the first two of them, integration of losses and segregation of gains. The other two principles for mixed outcomes have been neglected. We examines all four principles of hedonic framing using trading records of individual investors at a medium-sized discount brokerage firm. Our results confirm that individual investors in the Korean stock market are subject to the mental accounting effect. Our results also suggest a critical value driven from a simple analytical model is more appropriate as a reference point in combining gains and losses than the breakeven point generally suggested by the extant literature. This study contributes to the extant literature in two ways. First, we provide empirical evidence on the mental accounting effect in mixed outcomes. Considering trading outcomes are often mixed in the real world stock market, our finding is a meaningful extension of Lim(2005). Second, we derive a critical value from prospect theory’s value function and dichotomize mixed outcomes into segregation and integration regions. This is the first attempt to refine the general principles of mental accounting in a specific form. While the disposition effect, selling winners too early and holding losers too long, can be regarded as the main effect of individuals’ asymmetric decisions for their winners and losers, the mental accounting effect can be regarded as the interaction effect of those. While the disposition effect can be regarded as the time-series asymmetry of selling decisions for winners and losers, the mental accounting effect can be regarded as the cross-sectional asymmetry of those. As such we can have better understandings of psychological underpinnings in individuals’ selling decisions for winners and losers.