Finance comportementale et dynamique des prix des actifs: Une application par la méthode expérimentale

Mondher Bouattour and Anthony Miloudi
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Mondher Bouattour: LGC - Laboratoire de Gestion et de Cognition - UT3 - Université Toulouse III - Paul Sabatier - UT - Université de Toulouse, Groupe Sup de Co La Rochelle
Anthony Miloudi: Groupe Sup de Co La Rochelle, CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers

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Abstract: The purpose of this article is to study the influence of the disposition effect on the dynamics of asset prices based on two complementary behavioral theories: prospect theory and mental accounting. The main contribution of our paper consists of a simulation of 12 laboratory markets in which the interactions between participants take place through a computer network. We consider an experimental framework to study the behavior of subjects in a controlled environment. Our experimental protocol consists of two treatments (T1 and T2) with six sessions each. These two treatments differ according to the level of information disclosed to the subjects. As such, we validate the presence of a "reversed disposition effect" that investors who hold securities that incorporate good news will tend to keep them, while those who are losing stocks prefer to sell them.

Keywords: Behavioral finance; disposition effect; stock prices dynamics; laboratory markets; Finanzas comportamentales; efecto de disposición; dinámica de precios; método experimental; Finance comportementale; effet de disposition; dynamique des prix; méthode expérimentale (search for similar items in EconPapers)
Date: 2016-11-15
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Published in Recherches en sciences de gestion, 2016, 2 (113), pp.113-136. ⟨10.3917/resg.113.0113⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04028536

DOI: 10.3917/resg.113.0113

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