Influence of endogenous reference points on the selling decisions of retail investors
利用交易者层面数据，研究了股票特定内生参考点（前期实现的收益率和峰值收益率）对散户在后续投资轮次中卖出倾向的影响，发现卖出倾向在参考点附近显著上升，且受持有期和交易间隔影响。
Abstract Using trader‐level data, we examine the impact of the stock‐specific endogenous reference points, the ‘realized‐return’ and the ‘peak‐return’ of the prior round on the selling propensity in a subsequent investment round in the same asset. The selling propensity rises significantly near the endogenous reference points. The significance is greater when the holding period is relatively shorter and when the time gap between the consecutive rounds is lower, implying a recency effect. Finally, the impact is more substantial on traders holding fewer stocks. The results imply that traders' prior stock‐specific experience plays a significant role in the reference point formation.