The disposition effect and underreaction to news

• 成果类型: Article
• 署名作者: Frazzini, Andrea
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00896.x
• 发表日期: 2006
• 页码: 2017-2046
• 关键词: stock-prices; prospect-theory; earnings; returns; RISK; investors; analysts; long; anomalies; BEHAVIOR

摘要

This paper tests whether the disposition effect, that is the tendency of investors to ride losses and realize gains, induces underreaction to news, leading to return predictability. I use data on mutual fund holdings to construct a new measure of reference purchasing prices for individual stocks, and I show that post-announcement price drift is most severe whenever capital gains and the news event have the same sign. The magnitude of the drift depends on the capital gains (losses) experienced by the stock holders on the event date. An event-driven strategy based on this effect yields monthly alphas of over 200 basis points.