How prior realized outcomes affect portfolio decisions

被引：16

作者：

Duxbury D. ^{[1
]}

Hudson R. ^{[2
]}

Keasey K. ^{[1
]}

Yang Z. ^{[3
]}

Yao S. ^{[1
]}

机构：

[1] Leeds University Business School, The University of Leeds, Leeds

[2] Newcastle University Business School, Newcastle upon Tyne, NE1 7RJ, Ridley Building, Queen Victoria Road

[3] School of Economics and Management, Tsinghua University, Beijing

来源：

Review of Quantitative Finance and Accounting | 2013年 / 41卷 / 4期

基金：

中国国家自然科学基金;

关键词：

Portfolio composition; Prior realized outcomes; Stock characteristics;

D O I：

10.1007/s11156-012-0325-9

中图分类号：

学科分类号：

摘要：

Investors have been shown to have particular preferences when it comes to the characteristics of stock they hold in their portfolios, while prior gains and losses have been shown to impact on individuals' economic decisions, both in an investment context and more widely. This paper is the first to investigate how prior gains and losses affect investors' preferences for particular stock characteristics and so shape their portfolio compositions. Using a rich dataset combination from China, we conclude that prior realized outcomes play an important role in shaping portfolio composition through their impact on the characteristics of stocks that investors choose to hold. We find that positive prior realized outcomes encourage investors to select stocks with a variety of characteristics broadly consistent with higher risk taking (for example, higher betas and higher levels of idiosyncratic risk), though there are some differences across investor classes. While our empirical results are in line with what one would expect from the existing literature on the disposition and house money effects, we also consider other possible interpretations of the results. © 2012 Springer Science+Business Media New York.

引用

页码：611 / 629

页数：18

共 45 条

[1]

Ackert L.F., Charupat N., Church B.K., Deaves R., An experimental examination of the house money effect in a multi-period setting, Exp Econ, 9, pp. 5-16, (2006)

[2]

Aggarwal R., Klapperb L., Wysocki P.D., Portfolio preferences of foreign institutional investors, J Bank Financ, 29, pp. 2919-2946, (2005)

[3]

Barberis N., Huang M., Mental accounting, loss aversion, and individual stock returns, J Financ, 56, 4, pp. 1247-1292, (2001)

[4]

Basak S., Makarov D., Difference in interim performance and risk taking with short-sale constraints, J Financ Econ, 103, pp. 377-392, (2012)

[5]

Basak S., Pavlova A., Shapiro A., Optimal asset allocation and risk shifting in money management, Rev Financ Stud, 20, pp. 1583-1621, (2007)

[6]

Chen G.M., Rui O.M., Wang S.S., The effectiveness of price limits and stock characteristics: evidence from the Shanghai and Shenzhen stock exchanges, Rev Quant Financ Acc, 25, pp. 159-182, (2005)

[7]

Chen G.M., Kim K.A., Nofsinger J.R., Rui O.M., Trading performance, disposition effect, overconfidence, representativeness bias, and experience of emerging market investors, J Behav Decis Mak, 20, pp. 425-451, (2007)

[8]

Cheng S., An analysis of China's stock market in the first 10 years, Rev Pac Basin Financ Mark Pol, 12, 4, pp. 629-653, (2009)

[9]

Coval J.D., Moskowitz T.J., Home bias at home: local equity preference in domestic portfolios, J Financ, 54, pp. 2045-2073, (1999)

[10]

Coval J.D., Shumway T., Do behavioral biases affect prices?, J Financ, 60, pp. 1-34, (2005)

← 1 2 3 4 5 →