The Portfolio‐Driven Disposition Effect
研究发现，当投资组合整体盈利时，投资者卖出盈利股票的倾向显著减弱，但组合亏损时该效应增强。基于美中两国数据与实验，该效应稳健且不受极端收益、税收等因素解释，表明投资者在股票和组合层面形成心理账户。
ABSTRACT The disposition effect for a stock significantly weakens if the portfolio is at a gain, but is large when it is at a loss. We find this portfolio‐driven disposition effect (PDDE) in four independent settings: U.S. and Chinese archival data, as well as U.S. and Chinese experiments. The PDDE is robust to a variety of controls in regression specifications and is not explained by extreme returns, portfolio rebalancing, tax considerations, or investor heterogeneity. Our evidence suggests that investors form mental frames at both the stock and the portfolio levels and that these frames combine to generate the PDDE.