Stockholders’ Unrealized Returns and the Market Reaction to Financial Disclosures
研究了股东自购买股票以来的未实现收益如何影响其对财报公告的交易反应，发现未实现盈亏会调节交易行为并导致短期价格反应不足，结果支持前景理论但还需加入情绪因素（如后悔规避/追求自豪）来解释。
ABSTRACT Using both investor‐ and stock‐level data, I examine the relation between stockholders’ unrealized returns since purchase and the market response to earnings announcements. I demonstrate that stockholders’ unrealized gain/loss position moderates their trading behavior in response to earnings announcements. I also find that this behavior generates a short‐window return underreaction to earnings news. My results are generally consistent with predictions from prospect theory regarding the manner in which stockholders’ unrealized returns moderate their trading response to belief shocks. However, my results also suggest that an emotional component (i.e., regret‐avoidance/pride‐seeking) is necessary to explain the observed investor behavior.