EconPapers    
Economics at your fingertips  
 

Are disposition effect and skew preference correlated? Evidence from account‐level ELW transactions

Youngsoo Choi, Woojin Kim () and Eunji Kwon

Journal of Futures Markets, 2020, vol. 40, issue 2, 228-246

Abstract: This paper examines whether two well‐known cognitive biases, disposition effect and skew preference, may reflect a common feature of certain investors. On the basis of a unique proprietary dataset that provides the details of all transactions in the Korean equity‐linked warrant (ELW) market between 2009 and 2011, we find that investors who realize gains faster than losses are also more likely to trade out‐of‐the‐money ELWs. Investors who are less (more) subject to both biases exhibit the best (worst) risk‐adjusted trading performance. Our findings suggest that disposition effect and skew preference occur simultaneously, which could adversely affect trading performance.

Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1002/fut.22055

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:wly:jfutmk:v:40:y:2020:i:2:p:228-246

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2020-07-04
Handle: RePEc:wly:jfutmk:v:40:y:2020:i:2:p:228-246