Asset Pricing When Traders Sell Extreme Winners and Losers
研究发现投资者更倾向卖出浮盈或浮亏幅度大的股票，导致这些股票当前价格偏低、未来一个月收益更高，策略月均超额收益0.5-1%，夏普比率1.5。
This study investigates the asset pricing implications of a newly documented refinement of the disposition effect, characterized by investors being more likely to sell a security when the magnitude of their gains or losses on it increases. I find that stocks with both large unrealized gains and large unrealized losses outperform others in the following month (trading strategy monthly alpha = 0.5–1%, Sharpe ratio = 1.5). This supports the conjecture that these stocks experience higher selling pressure, leading to lower current prices and higher future returns. Overall, this study provides new evidence that investors' trading behavior can aggregate to affect equilibrium price dynamics. Received March 10, 2014; accepted August 31, 2015 by Editor David Hirshleifer.