Disposition effect as a behavioral trading activity elicited by investors' different risk preferences

2016 ◽  
Vol 46 ◽  
pp. 104-112 ◽  
Author(s):  
Isao Shoji ◽  
Sumei Kanehiro
Keyword(s):  
Risk Preferences ◽  
Disposition Effect ◽  
Trading Activity

scholarly journals History-Dependent Risk Preferences: Evidence from Individual Choices and Implications for the Disposition Effect

2019 ◽  
Vol 33 (8) ◽  
pp. 3674-3718 ◽  
Author(s):  
Angie Andrikogiannopoulou ◽  
Filippos Papakonstantinou
Keyword(s):  
Prospect Theory ◽  
Portfolio Choice ◽  
Loss Aversion ◽  
Risk Preferences ◽  
Disposition Effect ◽  
Oxford University ◽  
Dynamic Risk ◽  
Experimental Findings ◽  
Individual Choices ◽  
Published Paper

Abstract Using trading data from a sports wagering market, we estimate individuals’ dynamic risk preferences within a prospect theory paradigm. This market’s experimental-like features facilitate preference estimation, and our long panel enables us to study whether preferences vary across individuals and depend on earlier outcomes. Our estimates extend support for experimental findings—mild utility curvature, moderate loss aversion, and probability overweighting of extreme outcomes—to a market setting and reveal that preferences are heterogeneous and history dependent. Applying our estimates to a portfolio choice problem, we show prospect theory can better explain the prevalence of the disposition effect than previously thought. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Reversals in risk preferences for experiences and money

2011 ◽  
Author(s):  
Jolie Martin ◽  
Martin Reimann ◽  
Michael I. Norton
Keyword(s):  
Risk Preferences

Recent Trends in Trading Activity and Market Quality

CFA Digest ◽  
2011 ◽  
Vol 41 (4) ◽  
pp. 85-87
Author(s):  
Claire Emory
Keyword(s):  
Market Quality ◽  
Trading Activity ◽  
Recent Trends
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