The Journal of finance (New York), 2009-04, Vol.64 (2), p.751-784
2009
Details
- Autor(en) / Beteiligte
- Titel
- What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation
- Ist Teil von
- The Journal of finance (New York), 2009-04, Vol.64 (2), p.751-784
- Ort / Verlag
- Malden, USA: Blackwell Publishing Inc
- Erscheinungsjahr
- 2009
- Link zum Volltext
- Quelle
- Wiley Online Library
- Beschreibungen/Notizen
- We investigate whether prospect theory preferences can predict a disposition effect. We consider two implementations of prospect theory: in one case, preferences are defined over annual gains and losses; in the other, they are defined over realized gains and losses. Surprisingly, the annual gain/loss model often fails to predict a disposition effect. The realized gain/loss model, however, predicts a disposition effect more reliably. Utility from realized gains and losses may therefore be a useful way of thinking about certain aspects of individual investor trading.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0022-1082eISSN: 1540-6261DOI: 10.1111/j.1540-6261.2009.01448.xTitel-ID: cdi_proquest_miscellaneous_37121011
- Format
- –
- Schlagworte
- Expected returns, Financial theory, Forecasting, Investment strategies, Investment theory, Investors, Modeling, Portfolio selection, Preferences, Prospect theory, Realized gains, Realized gains & losses, Securities trading, Stock options, Stock prices, Stock sales, Stock shares, Studies, Trade volume, Wealth