Optimal stopping decisions and the disposition effect

被引:1
|
作者
Ahn, Yongkil [1 ]
机构
[1] Seoul Natl Univ Sci & Technol, 232 Gongneung Ro, Seoul 01811, South Korea
关键词
Disposition effects; Optimal stopping; Lab-in-the-field experiments; PROSPECT-THEORY; INVESTMENT PERFORMANCE; PREFERENCE REVERSALS; INVESTORS; RELUCTANT; BEHAVIOR; AVERSION; REALIZE; RISK; LONG;
D O I
10.1016/j.jbef.2024.100938
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
I conduct lab-in-the-field experiments using a stylized optimal stopping problem, through which I separately identify the exact threshold values for the disposition effect in the gain and loss domains. I further combine the experimental results with actual account-level trading records. Remarkably, I discover that solely the disposition effect indicator within the gain domain exhibits a positive correlation with the actual disposition effect observed in the stock market. This asymmetry in financial decision-making between the gain and loss domains suggests that individual investors may render suboptimal decisions primarily when confronted with gains.
引用
收藏
页数:8
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