원문정보
초록
영어
This study investigates the additional empirical evidence for the salience effect from Cosemans and Frehen (2021). In this paper, we find that the salience effect is referencedependent. Salience effect is strongly significant among stock groups with previous capital losses regardless of weighting scheme. We explain our results by the framework of referencedependent preferences; among previous losses, investors tend to break-even their losses and behave as risk-loving. In the previous loss region, average investors prefer high-salient stocks to low-salient stocks, which leads to significant salience effect. Furthermore, our finding is pronounced among stocks with low institutional ownership, consistent with the line of individual investors’ behavior of mental accounting and reference-dependence preference together with the salience theory.
목차
1. Introduction
2. Data and variables
2.1 Data
2.2. Salience Theory Measure (ST) and Capital Gain Overhang (CGO)
2.3. Firm-characteristic variables construction
3. The Salience effect
3.1. The Salience effect revisited
4. The role of CGO in Salience effect
4.1. Bivariate sort analysis
4.2. Fama and MacBeth (1973) cross-sectional regression
5. Institutional Ownership and the Salience Effect
6. Robustness Tests
7. Conclusion
Appendix
Reference