Speculating in gains, waiting in losses: A closer look at the disposition effect

Tõnn Talpsepp, Martin Vlcek and Mei Wang

Journal of Behavioral and Experimental Finance, 2014, vol. 2, issue C, 31-43

Abstract: Using the trading data from Estonian stock market as well as the laboratory experiments, we find that investment decisions depend on the current performance and the past price movement. Investors are contrarian in gains and holding stocks in losses, which is mostly consistent with our experimental results, where participants stay with their last period allocations if they had losses; whereas they follow more active contrarian strategies if they had profits. Our experiment suggests that the risk attitude in losses, together with wishful thinking and misperception of the price process, such as gambler’s fallacy, may attribute to the observed disposition effect.

Keywords: Disposition effect; Housemoney effect prospect theory; Portfolio choice; Experimental finance (search for similar items in EconPapers)
JEL-codes: D01 D14 D81 G11 G12 (search for similar items in EconPapers)
Date: 2014
References: Add references at CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2214635014000252

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:2:y:2014:i:c:p:31-43

DOI: 10.1016/j.jbef.2014.04.001

Access Statistics for this article

Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber

More articles in Journal of Behavioral and Experimental Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().