Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/244328 
Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Discussion Paper No. 288
Verlag: 
Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition, München und Berlin
Zusammenfassung: 
We theoretically show that there is a fundamental disconnect be- tween the disposition effect, i.e., investors' tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses re- alized. While its common measure cannot identify the disposition effect, it identifies the presence of some systematic bias. We further investigate the measure's comparative statics regarding markets, investors' information level, and their attention. Besides generating novel testable predictions, this analysis reveals that, in contrast to the measure's sign, variations in its magnitude are informative for its cause.
Schlagwörter: 
Disposition Effect
Rational Benchmark
Investor Behavior
Behavioral Biases
Market Segments
Financial Attention
Information Level
JEL: 
D90
D91
D83
D84
G11
G40
G41
Dokumentart: 
Working Paper

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