Professional trader discipline and trade disposition

• 成果类型: Article
• 署名作者: Locke, PR; Mann, SC
• 署名单位: Texas Christian University; George Washington University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.01.004
• 发表日期: 2005
• 页码: 401-444
• 关键词: Behavioral finance; discipline; FUTURES MARKETS; microstructure; TRADING

摘要

Recent evidence indicates irrational behavior among retail investors. They hold onto losses and sell winners in a manner consistent with the disposition effect. Market professionals often use the term discipline to indicate trading strategies that minimize potential behavioral influences. We investigate the nature of trading discipline and whether professional traders are able to avoid the costly irrational behaviors found in retail populations. The full-time traders in our sample hold onto losses significantly longer than gains, but we find no evidence of costs associated with this behavior. The successful floor futures traders in our sample exhibit trading behavior characterized as rational and disciplined. Moreover, measures of relative trading discipline have predictive power for subsequent trading success. (c) 2004 Elsevier B.V. All rights reserved.