Testing for the Disposition Effect on Optimal Stopping Decisions

in American Economics Review, 105 (5)

Magnani, Jacopo

Voir la revue «American Economic Review»

This paper develops a new laboratory test of the hypothesis that individual investors sell winners too early and ride losers too long. In the experiment, subjects invest in a risky asset, whose price evolves in near-continuous time, and they are provided with the option to liquidate it at a fixed salvage value. Optimal behavior is characterized by an upper and a lower stopping thresholds in the asset price space, thus producing a clear rational benchmark and eliminating known confounds. This ... design allows me to detect and quantify the disposition effect in a sample of 108 subjects.

Lire la suite

Chargement des enrichissements...