Abstract
There has been next to no study in the financial literature of sell decisions. An institutional money management database covering more than 7,000 investment portfolios now facilitates examination of different sell discipline criteria with respect to risk-adjusted returns and downside risk. The evidence indicates that portfolio performance is strongly related to the choice of the sell discipline criterion, even correcting for the potential effects of investment style changes over the period investigated. In rising markets, institutional money managers are likely to benefit from using less restrictive sell discipline criteria, while in declining markets they might benefit from a more restrictive sell discipline criterion. Market conditions, that is, strongly influence the effectiveness of the various sell discipline criteria.
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