Reference Point Adaptation and Disposition Effect: Evidence from Institutional Trading

• المؤلفون الرئيسيون: CHIYACHANTANA, Chiraphol N., YANG, Zongfei
• التنسيق: text
• اللغة: Undetermined
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: disposition effect; prospect theory; reference point adaptation; institutional investors; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/3038; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4037/viewcontent/NewC_Disposition_effect_12_18_09.pdf

Using a large proprietary database of institutional trades, we investigate whether, and to what extent, the dynamic adaptation of reference point translates into variations in the disposition effect, and establish three key results. First, the propensity to realize losses declines sharply with the m...