The Disposition Effect and Underreaction to News
检验投资者“处置效应”（倾向卖出盈利股、持有亏损股）是否导致对新闻的滞后反应，从而产生收益可预测性。基于基金持仓数据构建个股参考买入价，发现公告后价格漂移在资本利得与新闻事件同号时最严重，事件驱动策略月均超额收益超200基点。
ABSTRACT 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.