Pure Windfall Gain and Stock Market Participation: Evidence from Administrative Data

Cheng, Tzu-Chang Forrest; Huang, Hsuan-Hua; Lin, Tse-Chun; Yang, Tzu‐Ting; Zhu, Jian-Da

doi:10.2139/ssrn.3981321

Cited by 1 publication

(1 citation statement)

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“…35 Results are shown in Online Table A13. These findings are consistent with a large literature documenting an increase in indoor activities on poor weather days, for example, Cheng et al (2022) find high Google search volume of firm names used by Yahoo Finance in Taiwan; Gilchrist and Sands (2016) show larger movie viewership; and Xu (2018) document more crowdfund-backing activities, through more internet usage, on Kickstarter). 36 We do not have equivalent selectivity-corrected estimates for the sell-day sample as we do not have an exclusion restriction offering a source of exogenous variation in making a login on a day conditional upon making a sale, which would be the necessary feature of an exclusion restriction in the sell-day sample.…”

Section: Quispe-torreblanca Et Al: Investor Logins and The Dispositio...supporting

confidence: 88%

Investor Logins and the Disposition Effect

Quispe-Torreblanca,

Gathergood,

Loewenstein

et al. 2024

Management Science

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Using data from an online brokerage, we examine the role of investor logins in trading behavior. We find that a new reference point is created when an investor logs in and views the investor’s portfolio. We observe this as a disposition effect on returns since last login in addition to the traditional disposition effect on returns since purchase. Further, these reference points produce a strong interaction such that even a small loss since last login nullifies the positive effect of a gain since purchase. This interaction follows if investors select the higher, more aspirational price as a reference point. This paper was accepted by Yuval Rottenstreich, behavioral economics and decision analysis. Funding: This work was supported by the Economic and Social Research Council [Grants ES/K002201/1, ES/N018192/1, ES/P008976/1, and ES/V004867/1] and the Leverhulme Trust [Grant RP2012-V-022]. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2022.00359 .

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Section: Quispe-torreblanca Et Al: Investor Logins and The Dispositio...supporting

confidence: 88%