作者：Chang, Tom Y.; Solomon, David H.; Westerfield, Mark M.
作者单位：University of Southern California; University of Washington; University of Washington Seattle
摘要：We analyze brokerage data and an experiment to test a cognitive dissonance based theory of trading: investors avoid realizing losses because they dislike admitting that past purchases were mistakes, but delegation reverses this effect by allowing the investor to blame the manager instead. Using individual trading data, we show that the disposition effectthe propensity to realize past gains more than past lossesapplies only to nondelegated assets like individual stocks; delegated assets, like m...
作者：Foucault, Thierry; Hombert, Johan; Rosu, Ioanid
作者单位：Hautes Etudes Commerciales (HEC) Paris
摘要：We compare the optimal trading strategy of an informed speculator when he can trade ahead of incoming news (is fast), versus when he cannot (is slow). We find that speed matters: the fast speculator's trades account for a larger fraction of trading volume, and are more correlated with short-run price changes. Nevertheless, he realizes a large fraction of his profits from trading on long-term price changes. The fast speculator's behavior matches evidence about high-frequency traders. We predict...
