Institutional Investors, Past Performance, and Dynamic Loss Aversion
利用外汇交易专有数据，发现大型机构投资者在亏损后激进降低风险、盈利后温和增加风险，这种不对称性符合动态损失厌恶和过度自信，且对后续价格有影响。
Abstract Using a proprietary database of currency trades, this paper explores the effects of trading gains and losses on risk-taking among large institutional investors. We find that institutional investors, unlike individuals, are not prone to the disposition effect. Instead, institutions aggressively reduce risk following losses and mildly increase risk following gains. This asymmetry is more pronounced later in the calendar year and among older and more experienced funds. We show that such performance dependence is consistent with dynamic loss aversion (Barberis, Huang, and Santos (2001)) and overconfidence. In addition, prior institutional gains and losses have palpable implications for future prices.