Do Limit Orders Alter Inferences about Investor Performance and Behavior?

• 成果类型: Article
• 署名作者: Linnainmaa, Juhani T.
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01576.x
• 发表日期: 2010
• 页码: 1473-1506
• 关键词: Foreign investors; STOCK; long; overconfidence; INFORMATION; disposition; returns; winners; MARKETS; losers

摘要

Individual investors lose money around earnings announcements, experience poor posttrade returns, exhibit the disposition effect, and make contrarian trades. Using simulations and trading records of all individual investors in Finland, I find that these trading patterns can be explained in large part by investors' use of limit orders. These patterns arise mechanically because limit orders are price-contingent and suffer from adverse selection. Reverse causality from behavioral biases to order choices does not appear to explain my findings. I propose a simple method for measuring a data set's susceptibility to this limit order effect.