A Random Utility Model for Shareholders Capturing the Disposition Effect

2015 ◽  
Vol 4 (2) ◽  
pp. 1-15
Author(s):  
Alfred Ka Chun Ma ◽  
Justina Yuen Ki Cheung
Keyword(s):  
Prospect Theory ◽  
Empirical Data ◽  
Stock Price ◽  
Historical Data ◽  
Random Utility Model ◽  
Disposition Effect ◽  
Random Utility ◽  
Utility Model ◽  
Simulation Results

This work proposes a random utility model for individual trading decision in the spirit of prospect theory. This model differs from those in the literature in that empirical data of stock price and volume can be incorporated. The paper tests the model with historical data from the NYSE TAQ database. This model provides one more alternative to link prospect theory and the disposition effect. Simulation results show that this model consistently predicts the disposition effect under all circumstances.

scholarly journals Sorting into Contests: Evidence from Production Contracts

2019 ◽  
Vol 19 (1) ◽  
Author(s):  
Zhen Wang ◽  
Tomislav Vukina
Keyword(s):  
Fixed Effects ◽  
Random Utility Model ◽  
Random Utility ◽  
Utility Model ◽  
Fixed Effects Model ◽  
Empirical Results ◽  
Production Contracts ◽  
Contract Choice ◽  
Lower Ability ◽  
Profit Maximizing

Abstract In this paper, we investigate sorting patterns among chicken producers who are offered a menu of contracts to choose from. We show that the sorting equilibrium reveals a positive sorting where higher ability producers self-select themselves into contracts to grow larger chickens and lower ability types self-select themselves into contracts to grow smaller birds. We also show that eliciting this type of sorting behavior is profit maximizing for the principal. In the empirical part of the paper, we first estimate growers’ abilities using a two-way fixed effects model and subsequently use these estimated abilities to estimate a random utility model of contract choice. Our empirical results are supportive of the developed theory.

scholarly journals Small Boat Fishing in Hawaii: A Random Utility Model of Ramp and Ocean Destinations

2008 ◽  
Vol 23 (2) ◽  
pp. 137-151 ◽  
Author(s):  
TIMOTHY C. HAAB ◽  
MARCIA HAMILTON ◽  
KENNETH E. MCCONNELL
Keyword(s):  
Random Utility Model ◽  
Random Utility ◽  
Utility Model ◽  
Small Boat

Valuing the Loss of Rock Climbing Access in Wilderness Areas: A National-Level, Random-Utility Model

2002 ◽  
Vol 78 (1) ◽  
pp. 103-120 ◽  
Author(s):  
Therese C. Grijalva ◽  
Robert P. Berrens ◽  
Alok K. Bohara ◽  
Paul M. Jakus ◽  
W. Douglass Shaw
Keyword(s):  
National Level ◽  
Rock Climbing ◽  
Random Utility Model ◽  
Random Utility ◽  
Utility Model ◽  
Wilderness Areas

A Random Utility Model for Approval Voting

1996 ◽  
Vol 40 (2) ◽  
pp. 152-159 ◽  
Author(s):  
J.-Cl. Falmagne ◽  
M. Regenwetter
Keyword(s):  
Random Utility Model ◽  
Random Utility ◽  
Utility Model ◽  
Approval Voting
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