Wide framing disposition effect: An empirical study

نویسندگان

چکیده

We estimate the disposition effect for active traders in a large discount brokerage dataset containing US households trading records between 1991 and 1996. apply wide framing perspective, focusing on portfolios rather than individual stocks. find that varies inversely with proportion of stocks at gain portfolio, nearly vanishing when this reaches 50%. This is driven by how realisation gains losses depends percentage account. The probability to realise loss increases relation realising bank account follows U-shape. also change an investor realises more one stock day. investors sell stock, they are much likely another same In particular, selling investor’s propensity vice versa. key finding provides explanation observed dependency portfolio composition. propose several psychological explanations our findings.

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ژورنال

عنوان ژورنال: Journal of Economic Behavior and Organization

سال: 2021

ISSN: ['0167-2681', '1879-1751']

DOI: https://doi.org/10.1016/j.jebo.2021.03.003