Learning by Trading

• 成果类型: Article
• 署名作者: Seru, Amit; Shumway, Tyler; Stoffman, Noah
• 署名单位: University of Michigan System; University of Michigan; Indiana University System; IU Kelley School of Business; Indiana University Bloomington
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp060
• 发表日期: 2010
• 页码: 705
• 关键词: investors; disposition; INFORMATION; selection; BEHAVIOR; performance; survival; models

摘要

Using a large sample of individual investor records over a nine-year period, we analyze survival rates, the disposition effect, and trading performance at the individual level to determine whether and how investors learn from their trading experience. We find evidence of two types of learning: some investors become better at trading with experience, while others stop trading after realizing that their ability is poor. A substantial part of overall learning by trading is explained by the second type. By ignoring investor attrition, the existing literature significantly overestimates how quickly investors become better at trading. (JEL D10, G10)