The Disposition E ff ect and Underreaction to News

By Andrea Frazzini. 2006

820 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/a70fe6efd63354a3a9b57b82b6b16728974548be

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Citations in the corpus

Is Unbiased Financial Advice to Retail Investors Sufficient? Answers from a Large Field Study (2012, background): “Investors tend to sell winners too early and hold on to losers too long, which is an investment mistake called the disposition effect (Shefrin and Statman 1985; Odean 1998; Frazzini 2006).”
Fact, Fiction, and Value Investing (2015, neutral): “Frazzini et al. [2013] and Israel and Moskowitz [2013a] also show that multiple measures of value produce more stable value portfolios that deliver higher Sharpe ratios, higher information ratios, and more robust returns.”
It Depends on Where You Search: Institutional Investor Attention and Underreaction to News (2017, background): “Alternatively, if institutional attention amplifies behavioral bias, such as the disposition effect studied in Frazzini (2006), it might result in price pressure on day t in the opposite direction of the earnings surprise.”
Trading Performance, Disposition Effect, Overconfidence, Representativeness Bias, and Experience of Emerging Market Investors (2007, neutral): “Frazzini (2006) empirically tests the model and concludes that when investors display the disposition effect, it induces a stock price underreaction to news announcements and a postannouncement price drift.”
Time Series Momentum (2012, background): “To understand the relationship between time series and cross-sectional momentum, their underlying drivers, and relation to theory, we decompose the returns to a 1 Cross-sectional momentum has been documented in US equities (Jegadeesh and Titman, 1993; Asness, 1994), other equity markets…”
Fact, Fiction, and Momentum Investing (2014, neutral): “THE JOURNAL OF PORTFOLIO MANAGEMENT SPECIAL 40TH ANNIVERSARY ISSUE factors is Frazzini et al. [2013], (FIM), which uses trades from a large institutional investor (AQR Capital) over a long period of time. Using a unique data set containing more than a trillion dollars of live trades from 1998 to 201”
Do Individual Investors Cause Post-Earnings Announcement Drift? Direct Evidence from Personal Trades (2008, neutral): “For example, Frazzini (2006) provides evidence suggesting that mutual funds that have lost money on a stock are subject to the disposition effect, and that this bias on the part of fund managers can explain PEAD.”
Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model (2013, background): “[18] A. Frazzini, “The disposition effect and underreaction to news,” Journal of Finance, vol. 61, no. 4, pp. 2017–2046, 2006.”
Behavioral Finance: Quo Vadis? (2015, neutral): “Grinblatt and Han (2005) and Frazzini (2006) suggest that momentum can be explained by the disposition effect, a concept introduced by Shefrin and”
Investor Inattention and Friday Earnings Announcements (2009, background): “Behavioral explanations depend on disposition effect (Grinblatt and Han, 2005; Frazzini, 2006), fluctuations in overconfidence (Daniel, Hirshleifer, and Subrahmanyam, 1998), beliefs about mean reversion (Barberis, Shleifer, and Vishny, 1998), or underreaction to information due to cognitive limits…”
Institutional Investors, Past Performance, and Dynamic Loss Aversion (2009, background): “2Frazzini (2006) and Wermers (1999) analyze low-frequency mutual fund quarterly equity holdings and find evidence of the disposition effect.”
Financial Wealth, Socioemotional Wealth, and IPO Underpricing in Family Firms: A Two-stage Gamble Model (2017, background): “1 Aversion to loss realization refers to the disposition to “sell winners and ride losers” (Frazzini, 2006; Shefrin & Statman, 1985), and differs from the concept of loss aversion, which refers to people’s tendency to avoiding future losses.”