Reference Point Adaptation and Disposition Effect

• Main Authors: CHIYACHANTANA, Chiraphol New, Yang, Zongfei
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2013
• Subjects: disposition effect; reference point adaptation; prospect theory; institutional trading; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3785; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4784/viewcontent/7.pdf
• Institution: Singapore Management University

This paper investigates the importance of reference point adaptation in the analysis of the disposition effect. We consider two exogenous factors pertinent to reference point adaptation: prior outcome and recent expectation of future outcome. We show that the incidence of the disposition effect vari...