Stop Paying Attention to Your Brokerage Statements by Jack Vogel, Ph.D., Alpha Architect
The Worst, the Best, Ignoring All the Rest: The Rank Effect and Trading Behavior
- Hartzmark
- A version of the paper can be found here.
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Abstract:
In this paper, I document a new stylized fact about how investors trade assets in a portfolio setting. Specifically, investors are much more likely to sell the extreme winning and extreme losing position in a portfolio, even after controlling for a number of possibly confounding factors associated with extreme rank. The tendency to sell extreme positions is exhibited by both retail traders and mutual fund managers, and...
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