The disposition effect in securities trading: an experimental analysis
The disposition effect in securities trading: an experimental analysis
复制标题
DOI：
10.1016/s0167-2681(97)00089-9
复制
发表时间：
1998-01-01
影响因子：
2.2
通讯作者：
Camerer, CF
中科院分区：
文献类型：
--
作者：
Weber, M;Camerer, CF
“处置效应”指的是抛售增值资产(“赢家”)，保留价值缩水的资产(“输家”)。处置效应可以用前景理论的两个特征来解释：人们相对于一个参考点(股票的初始购买价格)来评估收益和损失，以及当面临可能的损失时寻求风险，当可能获得一定收益时规避风险的倾向。我们的实验旨在观察受试者是否会表现出倾向性效应。受试者买卖六种风险资产的股票。资产价格在每个时期都有波动。与贝叶斯优化相反，受试者确实倾向于卖出赢家，留住输家。当股票在每期结束后自动出售时，处置效果大大降低。爱思唯尔科学公司出版。
The 'disposition effect' is the tendency to sell assets that have gained value ('winners') and keep assets that have lost value ('losers'). Disposition effects can be explained by the two features of prospect theory: the idea that people value gains and losses relative to a reference point (the initial purchase price of shares), and the tendency to seek risk when faced with possible losses, and avoid risk when a certain gain is possible. Our experiments were designed to see if subjects would exhibit disposition effects. Subjects bought and sold shares in six risky assets. Asset prices fluctuated in each period. Contrary to Bayesian optimization, subjects did tend to sell winners and keep losers. When the shares were automatically sold after each period, the disposition effect was greatly reduced. Published by Elsevier Science B.V.