Extant theories on the disposition effect are largely silent on most of the disposition-effect related trading patterns, including the V-shaped probabilities of buying and selling against unrealized profit. On the other hand, portfolio rebalancing and learning have been shown to be important,...

Extant theories on the disposition effect are largely silent on most of the related trading patterns, including the V-shape results for probabilities of buying and selling against unrealized profit. On the other hand, portfolio rebalancing and learning have been shown to be important, even for...

This paper explores how two types of neighbor effects, referring to participation and performance effects, affect household’s stock investment propensity and intensity. Using the sample of urban households in China, we find that both the higher stock participation rate and the performance in...

What drives some households to take risks and hold financial instruments while others don’t? We document the extent to which overconfidence plays a role in households’ reported financial risk aversion and their actual investment behavior, using data from the China Household Finance Survey....

The effective transaction cost rates (TCRs) facing large institutional investors often depend on their trading speeds. We propose a continuous time work-horse model to study optimal trading strategies with speed-dependent TCRs. Unlike the existing literature, our model allows the TCRs to be a...