The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence
构建了一个理论框架，解释投资者为何过早卖出盈利股票、过久持有亏损股票，并讨论心理账户、后悔厌恶、自我控制和税收因素如何共同导致这一现象。
ABSTRACT One of the most significant and unique features in Kahneman and Tversky's approach to choice under uncertainty is aversion to loss realization. This paper is concerned with two aspects of this feature. First, we place this behavior pattern into a wider theoretical framework concerning a general disposition to sell winners too early and hold losers too long. This framework includes other elements, namely mental accounting, regret aversion, self‐control, and tax considerations. Second, we discuss evidence which suggests that tax considerations alone cannot explain the observed patterns of loss and gain realization, and that the patterns are consistent with a combined effect of tax considerations and the three other elements of our framework. We also show that the concentration of loss realizations in December is not consistent with fully rational behavior, but is consistent with our theory.