Guenther Benno, Lordan Grace
Department of Psychological and Behavioural Science, London School of Economics and Political Science, London, United Kingdom.
Front Psychol. 2023 Feb 23;14:1091922. doi: 10.3389/fpsyg.2023.1091922. eCollection 2023.
The disposition effect is a behavioural finance anomaly that has been observed in many populations including non-professional investors as well as professional investors and has been linked to reduced trading performance. However, the majority of studies to date have looked at the disposition effect in the context of non-mean reverting markets. We conducted a within-subject experiment with = 193 professional traders, to examine how the tendency towards the disposition effect varies across decision-making for mean reverting securities and non-mean reverting securities. In addition, we consider whether a simple informational intervention that makes the disposition effect salient can alter decision-making. Overall, we find that prior to the intervention the traders exhibit the disposition effect in the direction that aligns with profit maximisation goals suggesting that they are acting rational. For decisions on mean reverting securities the traders tend to make decisions in the direction of the disposition effect, which is rational given their mean reverting properties. We also find that the informational intervention is effective in changing the level of the disposition effect observed and decision-making, regardless of whether traders are considering decisions over mean reverting or non-mean reverting securities. Further, we provide evidence that our simple informational intervention improves trader returns when making decisions on non-mean reverting securities. In contrast, it has a negative impact when utilised for mean reverting securities. Our study highlights the power of simple interventions to make disproportionately large changes to decision-making regardless of whether they are in our best interests, and their beneficial role only when the context is right.
处置效应是行为金融学中的一种异常现象，在包括非专业投资者和专业投资者在内的许多人群中都有观察到，并且与交易绩效下降有关。然而，迄今为止，大多数研究都是在非均值回归市场的背景下考察处置效应的。我们对193名专业交易员进行了一项主体内实验，以研究处置效应的倾向在均值回归证券和非均值回归证券的决策过程中是如何变化的。此外，我们还考虑了一种使处置效应凸显的简单信息干预是否能改变决策。总体而言，我们发现，在干预之前，交易员表现出的处置效应方向与利润最大化目标一致，这表明他们的行为是理性的。对于均值回归证券的决策，交易员倾向于朝着处置效应的方向做出决策，鉴于其均值回归特性，这是合理的。我们还发现，无论交易员是在考虑均值回归证券还是非均值回归证券的决策，信息干预都能有效改变观察到的处置效应水平和决策。此外，我们提供的证据表明，我们的简单信息干预在交易员对非均值回归证券进行决策时能提高回报。相比之下，当用于均值回归证券时，它会产生负面影响。我们的研究强调了简单干预的力量，即无论是否符合我们的最佳利益，都能对决策产生不成比例的巨大影响，而且只有在合适的背景下才会发挥有益作用。
