投资组合驱动的处置效应

IF 7.6 1区经济学 Q1 BUSINESS, FINANCE

Journal of Finance Pub Date : 2024-08-21 DOI:10.1111/jofi.13378

LI AN, JOSEPH ENGELBERG, MATTHEW HENRIKSSON, BAOLIAN WANG, JARED WILLIAMS

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引用次数: 0

摘要

如果投资组合获利，股票的处置效应就会明显减弱，但如果投资组合亏损，处置效应就会很大。我们在四个独立的环境中发现了这种投资组合驱动的处置效应（PDDE）：我们在美国和中国的档案数据以及美国和中国的实验中发现了这种投资组合驱动的处置效应（PDDE）。PDDE 对回归规格中的各种控制措施都是稳健的，并且无法用极端回报、投资组合再平衡、税收考虑或投资者异质性来解释。我们的证据表明，投资者在股票和投资组合层面都形成了心理框架，而这些框架共同产生了 PDDE。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Portfolio-Driven Disposition Effect

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.

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来源期刊

Journal of Finance Multiple-

CiteScore

12.90

自引率

2.50%

发文量

期刊介绍： The Journal of Finance is a renowned publication that disseminates cutting-edge research across all major fields of financial inquiry. Widely regarded as the most cited academic journal in finance, each issue reaches over 8,000 academics, finance professionals, libraries, government entities, and financial institutions worldwide. Published bi-monthly, the journal serves as the official publication of The American Finance Association, the premier academic organization dedicated to advancing knowledge and understanding in financial economics. Join us in exploring the forefront of financial research and scholarship.