The Information Content of Realized Losses

• 成果类型: Article
• 署名作者: Kelly, Peter
• 署名单位: University of Notre Dame
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy013
• 发表日期: 2018
• 页码: 2468
• 关键词: INSIDER TRADES; disposition; BEHAVIOR

摘要

Examining the trades of company insiders, I find that a sale of stock at a loss is a much more negative signal about future returns than is a sale of stock at a gain. I consider a range of explanations for my results and find that the evidence is most consistent with the idea that investors derive direct disutility from selling a stock at a loss. Since selling a stock at a loss is painful, an investor who sells at a loss must have particularly negative information. This result offers a novel measurement of the strength of the disposition effect.