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Cited by 874

The DOI matches its Crossref record; 63 of the 63 references it cites were found in a registry or an index.

The Disposition Effect and Underreaction to News

FRAZZINI, ANDREA·2006·The Journal of Finance
DOI 10.1111/j.1540-6261.2006.00896.x
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Abstract

This paper tests whether the “disposition effect,” that is the tendency of investors to ride losses and realize gains, induces “underreaction” to news, leading to return predictability. I use data on mutual fund holdings to construct a new measure of reference purchasing prices for individual stocks, and I show that post‐announcement price drift is most severe whenever capital gains and the news event have the same sign. The magnitude of the drift depends on the capital gains (losses) experienced by the stock holders on the event date. An event‐driven strategy based on this effect yields monthly alphas of over 200 basis points.

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Metadata

Authors
FRAZZINI, A.
Venue
The Journal of Finance
Publisher
Wiley
Published
2006-08
Volume
61
Issue
4
Pages
2017-2046
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.2006.00896.x
OpenAlex
W2110496272
Cited by
874
References
63
FWCI
47.12
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: The Disposition Effect and Underreaction to News. https://app.cochat.ai/papers/10.1111/j.1540-6261.2006.00896.x
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FRAZZINI, A. (2006). The Disposition Effect and Underreaction to News. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.2006.00896.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.