Are Investors Really Reluctant to Realize Their Losses? Trading Responses to Past Returns and the Disposition Effect

• 成果类型: Article
• 署名作者: Ben-David, Itzhak; Hirshleifer, David
• 署名单位: University System of Ohio; Ohio State University; University of California System; University of California Irvine
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhs077
• 发表日期: 2012
• 页码: 2485
• 关键词: PROSPECT-THEORY; Behavioral biases; volume; performance; attention; winners; losers; news; long

摘要

We examine how investor preferences and beliefs affect trading in relation to past gains and losses. The probability of selling as a function of profit is V-shaped; at short holding periods, investors are more likely to sell big losers than small ones. There is little evidence of an upward jump in selling at zero profits. These findings provide no clear indication that realization preference explains trading. Furthermore, the disposition effect is not driven by a simple direct preference for selling a stock by virtue of having a gain versus a loss. Trading based on belief revisions can potentially explain these findings.