By using the trading data and corporate financial data from 2010 to 2022 in Korean stock market, we combine the Bayesian learning process with the DSSW model to investigate the size and specific manifestations of the disposition effect when market belief is different from investors' irrational beliefs. We find that there is a significant negative correlation between investor sentiment and the investor disposition effect. Moreover, affected by sentiment, the performance of investor disposition effect in the bull market and the bear market is quite opposite. The conclusion of this paper has certain theoretical and practical significance for understanding the disposition effect of investors, optimizing investors' selling decisions, and strengthening the construction of a basic system of the capital market.

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投资者情绪和市场信念在预测 V 形处置效应中的作用：来自 DSSW 模型的贝叶斯学习过程的证据

利用韩国股票市场2010年至2022年的交易数据和企业财务数据，将贝叶斯学习过程与DSSW模型相结合，考察市场信念与投资者非理性信念不同时处置效应的大小和具体表现。我们发现，投资者情绪与投资者处置效应之间存在显着的负相关关系。而且，受情绪影响，投资者处置效应在牛市和熊市中表现得截然相反。本文的结论对于认识投资者的处置效应、优化投资者的卖出决策、加强资本市场基础制度建设具有一定的理论和实践意义。