Decomposing the disposition effect

Arbeitspapier

We theoretically show that there is a fundamental disconnect be- tween the disposition effect, i.e., investors' tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses re- alized. While its common measure cannot identify the disposition effect, it identifies the presence of some systematic bias. We further investigate the measure's comparative statics regarding markets, investors' information level, and their attention. Besides generating novel testable predictions, this analysis reveals that, in contrast to the measure's sign, variations in its magnitude are informative for its cause.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Discussion Paper ; No. 288

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Micro-Based Behavioral Economics: General‡ ; Micro-Based Behavioral Economics: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making‡ ; Search; Learning; Information and Knowledge; Communication; Belief; Unawareness ; Expectations; Speculations ; Portfolio Choice; Investment Decisions ; Behavioral Finance: General‡ ; Behavioral Finance: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets‡
• Thema: Disposition Effect ; Rational Benchmark ; Investor Behavior ; Behavioral Biases ; Market Segments ; Financial Attention ; Information Level

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Maier, Johannes K. ; Fischer, Dominik Simon
• Ereignis: Veröffentlichung
• (wer): Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition
• (wo): München und Berlin
• (wann): 2021

Weitere Informationen

• Handle: http://hdl.handle.net/10419/244328
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ