文档介绍：THE JOURNAL OF FINANCE • VOL. LIII, NO. 5 • OCTOBER 1998
Are Investors Reluctant to Realize
Their Losses?
TERRANCE ODEAN*
ABSTRACT
I test the disposition effect, the tendency of investors to hold losing investments too
long and sell winning investments too soon, by analyzing trading records for 10,000
accounts at a large discount brokerage house. These investors demonstrate a strong
preference for realizing winners rather than losers. Their behavior does not appear
to be motivated by a desire to rebalance portfolios, or to avoid the higher trading
costs of low priced stocks. Nor is it justified by subsequent portfolio performance.
For taxable investments, it is suboptimal and leads to lower after-tax returns.
Tax-motivated selling is most evident in December.
THE TENDENCY TO HOLD LOSERS too long and sell winners too soon has been
labeled the disposition effect by Shefrin and Statman ~1985!. For taxable
investments the disposition effect predicts that people will behave quite dif-
ferently than they would if they paid attention to tax consequences. To test
the disposition effect, I obtained the trading records from 1987 through 1993
for 10,000 accounts at a large discount brokerage house. An analysis of these
records shows that, overall, investors realize their gains more readily than
their losses. The analysis also indicates that many investors engage in tax-
motivated selling, especially in December. Alternative explanations have been
proposed for why investors might realize their profitable investments while
retaining their losing investments. Investors may rationally, or irrationally,
believe that their current losers will in the future outperform their current
* University of California, Davis. This paper is based on my dissertation at the University of
California, Berkeley. I would like to thank an anonymous referee, Brad Barber, Peter Klein,
Hayne Leland, Richard Lyons, David Modest, John Nofsinger, James Poterba, Mark R