The Disposition Effect under the Reference Dependent Smooth Model of Ambiguity
The Disposition Effect under the Reference Dependent Smooth Model of Ambiguity
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DOI：
10.2139/ssrn.3457085
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发表时间：
2019-09
期刊：
影响因子：
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通讯作者：
Hideki Iwaki;Daisuke Yoshikawa
中科院分区：
文献类型：
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作者：
Hideki Iwaki;Daisuke Yoshikawa
摘要 处置效应是金融市场中常见的一个难题。对于处置效应已经提供了几种理论解释；然而，该问题仍未解决。我们试图通过结合根据参考点而变化的模糊态度来解释这种效果。我们扩展了 Klibanoff、P.、M. Marinacci 和 S. Mukerji 的平滑模糊模型。 2005年。“模糊条件下决策的平滑模型。” Econometrica 73: 1849–92 取决于参考点。数值例子表明，如果投资者从已实现的收益和损失中获得效用，那么在我们的参考依赖平滑模糊模型下，处置效应会更加明显。
Abstract The disposition effect is a commonly observed puzzle in financial markets. Several theoretical explanations for the disposition effect have been provided; however, it remains unresolved. We attempt to explain the effect by incorporating ambiguity attitudes that vary depending on the reference point. We extend the smooth model of ambiguity by Klibanoff, P., M. Marinacci, and S. Mukerji. 2005. “A Smooth Model of Decision Making under Ambiguity.” Econometrica 73: 1849–92 to depend on the reference point. Numerical examples show that the disposition effect is more pronounced under our reference-dependent smooth model of ambiguity if the investor gets her/his utility from the realized gains and losses.