The Portfolio-Driven Disposition Effect

• 成果类型: Article
• 署名作者: An, Li; Engelberg, Joseph; Henriksson, Matthew; Wang, Baolian; Williams, Jared
• 署名单位: Tsinghua University; University of California System; University of California San Diego; University of Tennessee System; University of Tennessee Knoxville; State University System of Florida; University of Florida; State University System of Florida; University of South Florida
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13378
• 发表日期: 2024
• 关键词: Loss aversion; risk-taking; investors; categorization; Similarity; reluctant; BEHAVIOR; realize; long

摘要

The disposition effect for a stock significantly weakens if the portfolio is at a gain, but is large when it is at a loss. We find this portfolio-driven disposition effect (PDDE) in four independent settings: U.S. and Chinese archival data, as well as U.S. and Chinese experiments. The PDDE is robust to a variety of controls in regression specifications and is not explained by extreme returns, portfolio rebalancing, tax considerations, or investor heterogeneity. Our evidence suggests that investors form mental frames at both the stock and the portfolio levels and that these frames combine to generate the PDDE.