The Causal Effect of Stop-Loss and Take-Gain Orders on the Disposition Effect

• 成果类型: Article
• 署名作者: Fischbacher, Urs; Hoffmann, Gerson; Schudy, Simeon
• 署名单位: University of Konstanz; University of Munich
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx016
• 发表日期: 2017
• 页码: 2110
• 关键词: PROSPECT-THEORY; REALIZATION UTILITY; investors; BEHAVIOR; INFORMATION; reluctant; losers; stocks; TRADE; price

摘要

We investigate whether automatic selling devices causally reduce investors' disposition effect (DE) in a laboratory experiment. Investors can actively buy and sell assets. Investors in the treatment group use stop-loss and take-gain options to automatically sell assets. In addition, we introduce a reminder condition that reminds investors about their selling plan if a limit is hit. Results show that the automatic selling device treatment significantly reduces the DEs, but the reminder treatment does not. Thus, the opportunity to ex ante commit to automatically selling at a loss causally reduces the disposition effect.