Wide Framing Disposition Effect: An Empirical Study
Wide Framing Disposition Effect: An Empirical Study
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DOI：
10.2139/ssrn.3778099
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发表时间：
2021-02
期刊：
影响因子：
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通讯作者：
J. Brettschneider;Giovanni Burro;Vicky Henderson
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文献类型：
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作者：
J. Brettschneider;Giovanni Burro;Vicky Henderson
摘要我们在一个包含1991年至1996年美国家庭交易记录的大型折扣经纪数据集中估计了活跃交易者的处置效应。我们采用广泛的框架视角，专注于投资组合而不是个股。我们发现，处置效果与投资组合中获利股票的比例成反比，当这一比例达到50%时，处置效果几乎消失。这是由收益和损失的实现如何取决于账户中收益的百分比所驱动的。实现亏损的可能性随着账户收益的百分比而增加。实现收益的概率与银行账户收益百分比之间的关系呈U型。我们还估计了当投资者在一个交易日变现多只股票时处置效应的变化。我们发现，当投资者卖出一支股票时，他们更有可能在同一天变现另一支股票。特别是，卖出亏损会增加投资者卖出收益的倾向，反之亦然。这一关键发现为观察到的处置效应对投资组合构成的依赖性提供了解释。我们还对我们的发现提出了几种心理学解释。
Abstract We estimate the disposition effect for active traders in a large discount brokerage dataset containing US households trading records between 1991 and 1996. We apply a wide framing perspective, focusing on portfolios rather than individual stocks. We find that the disposition effect varies inversely with the proportion of stocks trading at a gain in the portfolio, nearly vanishing when this proportion reaches 50%. This is driven by how the realisation of gains and losses depends on the percentage of gains in the account. The probability to realise a loss increases with the percentage of gains in the account. The relation between the probability of realising a gain and the percentage of gains in the bank account follows a U-shape. We also estimate the change in the disposition effect when an investor realises more than one stock on a trading day. We find when investors sell a stock, they are much more likely to also realise another stock on the same day. In particular, selling a loss increases an investor’s propensity to sell a gain and vice versa. This key finding provides an explanation for the observed dependency of the disposition effect on the portfolio composition. We also propose several psychological explanations for our findings.