The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior
研究发现投资者更倾向于卖出投资组合中表现最好和最差的股票，这种“排名效应”与公司信息或持有期无关，而是由极端持仓的显著性驱动，且同时存在于散户和基金经理中。
I document a new stylized fact about how investors trade assets: individuals are more likely to sell the extreme winning and extreme losing positions in their portfolio ("the rank effect"). This effect is not driven by firm-specific information, holding period or the level of returns itself, but is associated with the salience of extreme portfolio positions. The rank effect is exhibited by both retail traders and mutual fund managers. The effect indicates that trades in a given stock depend on how the stock compares to other positions in an investor's portfolio.