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The opposite disposition effect: Evidence from the Korean stock index futures market

Yunsung Eom

Finance Research Letters, 2018, vol. 26, issue C, 261-265

Abstract: This paper examines the trading behavior of investors with respect to prospect theory from an intraday analysis. Using a unique data set of all trades on the Korean stock index futures market, we find that investors are more likely to hold losers longer than winners under a critical point, but to hold winners longer than losers over the critical point. Our finding suggests that the disposition effect under a critical point and the opposite of the disposition effect over the critical point play an important role in liquidation decisions.

Keywords: Prospect theory; Disposition effect; Opposite disposition effect; Liquidation decisions (search for similar items in EconPapers)
JEL-codes: G11 G15 G24 (search for similar items in EconPapers)
Date: 2018
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Handle: RePEc:eee:finlet:v:26:y:2018:i:c:p:261-265