The Impact of Salience on Investor Behavior: Evidence from a Natural Experiment

• 成果类型: Article
• 署名作者: Frydman, Cary; Wang, Baolian
• 署名单位: University of Southern California; State University System of Florida; University of Florida
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12851
• 发表日期: 2020
• 页码: 229-276
• 关键词: Risk-taking; disposition; INFORMATION; PSYCHOLOGY; preference; attention; reluctant; consumer; returns; realize

摘要

We test whether the display of information causally affects investor behavior in a high-stakes trading environment. Using investor-level brokerage data from China and a natural experiment, we estimate the impact of a shock that increased the salience of a stock's purchase price but did not change the investor's information set. We employ a difference-in-differences approach and find that the salience shock causally increased the disposition effect by 17%. We use microdata to document substantial heterogeneity across investors in the treatment effect. A previously documented trading pattern, the rank effect, explains heterogeneity in the change in the disposition effect.