Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors

• 成果类型: Article
• 署名作者: Akepanidtaworn, Klakow; Mascio, Rick di; Imas, Alex; Schmidt, Lawrence D. W.
• 署名单位: International Monetary Fund; University of Chicago; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13271
• 发表日期: 2023
• 页码: 3055-3098
• 关键词: MUTUAL FUND PERFORMANCE; Hedge funds; attention; overconfidence; INFORMATION; reluctant; selection; accounts; returns; realize

摘要

Are market experts prone to heuristics, and do these heuristics transfer across buying and selling domains? We investigate this question using a unique data set of institutional investors with portfolios averaging $573 million. A striking finding emerges: While there is evidence of skill in buying, selling decisions underperform substantially, even relative to random-selling strategies. This holds despite the similarity between the two decisions in frequency, substance, and consequences for performance. Evidence suggests an asymmetric allocation of cognitive resources such as attention can explain the discrepancy: We document a systematic, costly heuristic process for selling but not for buying.