The Impact of Salience on Investor Behavior: Evidence from a Natural Experiment
利用中国投资者层面的经纪数据和一项自然实验，研究发现股票购买价格的显著性冲击（不改变信息集）使处置效应增加了17%，并揭示了投资者间的异质性。
ABSTRACT We test whether the display of information causally affects investor behavior in a high‐stakes trading environment. Using investor‐level brokerage data from China and a natural experiment, we estimate the impact of a shock that increased the salience of a stock's purchase price but did not change the investor's information set. We employ a difference‐in‐differences approach and find that the salience shock causally increased the disposition effect by 17%. We use microdata to document substantial heterogeneity across investors in the treatment effect. A previously documented trading pattern, the “rank effect,” explains heterogeneity in the change in the disposition effect.