earticle

영어

We decompose the response of stock return to the sign of past stock return into the quantitative anchoring and disposition effects, where the quantitative anchoring is that the past positive stock return induces a positive stock return in the subsequent period (plus anchoring) and vice versa for the past negative stock return (minus anchoring) and disposition effect is that the tendency of investors to hold losing investments too long and sell winning investments too soon. To test these effects, we divide the stock returns into two groups by their signs and checked the subsequent responses of stock returns at the next periods. From the daily stock return data of 47 countries’, we found (i) both the plus anchoring and minus anchoring exist. (ii) plus anchoring is bigger than minus anchoring if the disposition effect exists. (iii) if we assume the plus anchoring is equal to the minus anchoring, then the disposition effect is rejected in most countries.