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Splitting the Disposition Effect : Asymmetric Reactions Towards “Selling Winners” and “Holding Losers”
Weber, Martin
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Welfens, Frank
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URL:
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http://ub-madoc.bib.uni-mannheim.de/2284
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URN:
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urn:nbn:de:bsz:180-madoc-22840
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Dokumenttyp:
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Arbeitspapier
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Erscheinungsjahr:
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2008
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Titel einer Zeitschrift oder einer Reihe:
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None
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Sprache der Veröffentlichung:
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Englisch
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Einrichtung:
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Fakultät für Betriebswirtschaftslehre > Sonstige - Fakultät für Betriebswirtschaftslehre
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MADOC-Schriftenreihe:
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Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre (Weber) > Working Papers
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Fachgebiet:
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330 Wirtschaft
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Fachklassifikation:
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JEL:
G12 G11 D81 D14 C91 ,
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Normierte Schlagwörter (SWD):
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Kapitalanleger , Anlageverhalten , Entscheidung bei Risiko
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Freie Schlagwörter (Englisch):
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Decision analysis: Risk , Decision analysis: Sequential
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Abstract:
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The disposition effect describes investors’ common tendency of quitting a winning investment too soon and holding on to losing investments too long. Since Shefrin and Statman (1985), the two sides of the disposition effect, i.e. “selling winners” and “holding losers”, have been assessed as one coherent bias. High-disposition investors are usually modeled to sell their winners quickly while almost never selling losers, while low-disposition investors are assumed to behave in the opposite way. Investigating both account level field data as well as data from a controlled laboratory experiment, we however show that individual investors’ reactions towards “selling winners” and “holding losers” are completely independent, meaning that the disposition effect is better depicted as two separate biases, investors’ “preference for cashing-in gains” and their “loss realization aversion”. Furthermore, investors’ individual preferences towards both sides are also stable over tasks and time so that both biases can be seen and modeled as individual personality traits.
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Zusätzliche Informationen:
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Available at SSRN: http://ssrn.com/abstract
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 | Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt. |
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