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The Portfolio-Driven Disposition Effect
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AI
DOI：10.1111/jofi.13378.png)
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Abstract
En 中文
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.
Keywords:
LOSS AVERSION
RISK-TAKING
INVESTORS
CATEGORIZATION
SIMILARITY
RELUCTANT
BEHAVIOR
REALIZE
LONG
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