Learning by Trading
利用九年个体投资者交易记录，分析存活率、处置效应和交易绩效，发现投资者通过两种方式学习：部分人随经验提升交易能力，另一部分人因意识到能力不足而停止交易，且后者解释了大部分学习效应。现有文献忽略投资者流失，高估了学习速度。
Using a large sample of individual investor records over a nine-year period, we analyze survival rates, the disposition effect, and trading performance at the individual level to determine whether and how investors learn from their trading experience. We find evidence of two types of learning: some investors become better at trading with experience, while others stop trading after realizing that their ability is poor. A substantial part of overall learning by trading is explained by the second type. By ignoring investor attrition, the existing literature significantly overestimates how quickly investors become better at trading. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.