Do Behavioral Biases Affect Order Aggressiveness?
61 Pages Posted: 19 Aug 2013 Last revised: 15 Sep 2018
Date Written: December 1, 2014
We extend previous studies on the effect of behavioral biases on investor hold/sell decisions, and examine whether behavioral biases affect the order submission strategies. We use a unique database provided by the Shanghai Stock Exchange, which contains order submissions and executions as well as trading records of all investors. We find investors are less (more) aggressive in submitting sell orders for stocks that experienced losses (gains). The sell order aggressiveness is negatively related to the size of losses, but has a quadratic relationship with the size of gains. Results are consistent with the combination of disposition and house money effects.
Keywords: Order submission, Order aggressiveness, Disposition effect
JEL Classification: G12, G14, G18
Suggested Citation: Suggested Citation