Swimming Against the Current: Contrarian Retail Trading
研究发现散户的逆向卖出行为取决于持仓盈亏：盈利时随日收益增加而卖出（逆向），亏损时随收益增加而减少卖出（趋势跟随），且未实现资本利得是核心因素，该行为增强了流动性并削弱了短期反转。
Abstract Retail investor contrarian selling depends on whether a position is at a gain or a loss. Selling propensity increases in daily returns for positions with unrealized gains (contrarian selling) and decreases in returns for loss positions (trend-following selling). This pattern is consistent with behavioral arguments that investors update their beliefs when stock prices move away from their purchase prices. In line with increased liquidity from contrarian selling, illiquid stocks exhibit weaker short-term reversals when investors have higher unrealized capital gains. Our findings diminish following stock splits, suggesting that unrealized capital gains are central to contrarian behavior, particularly when investors perceive them clearly.