Inheriting Losers

• 成果类型: Article
• 署名作者: Jin, Li; Scherbina, Anna
• 署名单位: University of California System; University of California Davis; Harvard University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq084
• 发表日期: 2011
• 页码: 786
• 关键词: top management turnover; INVESTOR PSYCHOLOGY; MOMENTUM PROFITS; prospect-theory; cross-section; loss aversion; disposition; seasonality; winners; long

摘要

We show that new managers who take over mutual fund portfolios sell off inherited momentum losers at higher rates than stocks in any other momentum decile, even after adjusting for concurrent trades in these stocks by continuing fund managers. This behavior is observed regardless of fund characteristics and is stronger when new managers are external hires. The tendency of continuing fund managers to hold on to losers could be consistent with either a behavior bias stemming from an inability to ignore the sunk costs associated with the stocks' past underperformance or a conscious desire to protect their careers by not admitting prior mistakes. Furthermore, we present evidence that selling off loser stocks helps improve fund performance.