Do Limit Orders Alter Inferences about Investor Performance and Behavior?
研究发现，个人投资者在盈利公告前后的亏损、处置效应和反向交易等模式，很大程度上源于他们使用限价单，而非行为偏差。
ABSTRACT 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.