Are Investors Really Reluctant to Realize Their Losses? Trading Responses to Past Returns and the Disposition Effect
研究了投资者偏好和信念如何影响基于过去盈亏的交易行为，发现卖出概率与利润呈V形关系，短期持有者更可能卖出大亏损股票，处置效应并非由简单的盈利偏好驱动。
We examine how investor preferences and beliefs affect trading in relation to past gains and losses. The probability of selling as a function of profit is V-shaped; at short holding periods, investors are more likely to sell big losers than small ones. There is little evidence of an upward jump in selling at zero profits. These findings provide no clear indication that realization preference explains trading. Furthermore, the disposition effect is not driven by a simple direct preference for selling a stock by virtue of having a gain versus a loss. Trading based on belief revisions can potentially explain these findings. The Author 2012. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oup.com., Oxford University Press.