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Displaying results 1 to 11 of 11.

  1. The law of small numbers in financial markets
    theory and evidence
    Author: Jin, Lawrence J.; Peng, Cameron
    Published: July 2024
    Publisher:  [LSE Financial Markets Group], [London]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Discussion paper / [Financial Markets Group] ; no 911
    Paul Woolley Centre working paper ; no 99
    Subjects: Law of Small Numbers; Trading Behavior; Disposition Effect; Return Extrapolation
    Scope: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  2. The disposition effect in boom and bust markets
    Author: Bernard, Sabine; Loos, Benjamin; Weber, Martin
    Published: [2021]
    Publisher:  Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    The disposition effect is implicitly assumed to be constant over time. However, drivers of the disposition effect (preferences and beliefs) are rather countercyclical. We use individual investor trading data covering several boom and bust periods... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 431
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    The disposition effect is implicitly assumed to be constant over time. However, drivers of the disposition effect (preferences and beliefs) are rather countercyclical. We use individual investor trading data covering several boom and bust periods (2001-2015). We show that the disposition effect is countercyclical, i.e. is higher in bust than in boom periods. Our findings are driven by individuals being 25% more likely to realize gains in bust than in boom periods. These changes in investors' selling behavior can be linked to changes in investors' risk aversion and in their beliefs across financial market cycles.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/229647
    Series: SAFE working paper ; no. 305
    Subjects: Disposition Effect; Financial Market Cycles; Household Finance; Retail Investor
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  3. How do taxes affect the trading behavior of private investors?
    evidence from individual portfolio data
    Author: Buhlmann, Florian; Doerrenberg, Philipp; Voget, Johannes; Loos, Benjamin
    Published: 2020
    Publisher:  ZEW - Leibniz-Zentrum für Europäische Wirtschaftsforschung GmbH Mannheim, Mannheim, Germany

    We exploit a large reform of capital-gains taxation in Germany combined with portfolio-level daily panel data to study the causal effect of taxes on individual stock-trading behavior and the disposition effect. We find substantial spikes in selling... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Mannheim
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    We exploit a large reform of capital-gains taxation in Germany combined with portfolio-level daily panel data to study the causal effect of taxes on individual stock-trading behavior and the disposition effect. We find substantial spikes in selling probabilities around an intertemporal tax discontinuity, and no such spikes after the abolishment of the discontinuity. Using difference-in-bunching methods, non-parametric regressions and effective tax rates, we quantify the tax effect and identify interesting patterns of heterogeneity. We further find evidence that the well-established disposition effect is strongly affected by the tax discontinuity through tax motivated selling of both gains and losses.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/225078
    Edition: This version: May 13, 2020
    Series: Discussion paper / ZEW ; no. 20, 047 (10/2020)
    Subjects: Taxation; Capital-gains; Private investors; Trading Behavior; Disposition Effect
    Scope: 1 Online-Ressource (80 Seiten), Illustrationen
  4. Do robo-advisors make us better investors?
    Author: Back, Camila; Morana, Stefan; Spann, Martin
    Published: [2021]
    Publisher:  Collaborative Research Center Transregio 190, Munich, Germany

    Investors increasingly can obtain assistance from "robo-advisors," artificial intelligence - enabled digitalized service agents imbued with anthropomorphic design elements that can communicate using natural language. The present article considers the... more

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    Investors increasingly can obtain assistance from "robo-advisors," artificial intelligence - enabled digitalized service agents imbued with anthropomorphic design elements that can communicate using natural language. The present article considers the impact of anthropomorphized robo-advisors on investment decisions, with a focus on their ability to mitigate investors’ behavioral biases. We study the well-documented disposition effect, which reflects investors’ greater propensity to realize past gains than past losses. In two induced-value laboratory experiments, the availability of a robo-advisor reduces (i.e., mitigates) investors’ disposition effect. This relationship is mediated by two simultaneous (indirect) effects: the extent of requests for the robo-advisor’s investment advice and perceptions of its socialness. These findings resonate with cognitive dissonance theory, which predicts that assigning responsibility to the advisor helps investors resolve a sense of discomfort that may arise after a financial loss. Anthropomorphic design elements alone are not sufficient to reduce the disposition effect, but they decrease investors’ propensity to seek advice, which offsets the positive (indirect) effect of perceived socialness. These results have implications for the ongoing automation of advisory services, as well as for improving decision making, and suggest some further research directions.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/233499
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 276 (February 5, 2021)
    Subjects: Robo-Advisors; Artificial Intelligence; Advice; Anthropomorphism; Disposition Effect
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  5. The law of small numbers in financial markets
    theory and evidence
    Author: Jin, Lawrence; Peng, Cameron
    Published: 27 May 2024
    Publisher:  Centre for Economic Policy Research, London

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
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    Universitätsbibliothek Freiburg
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Universitätsbibliothek Mannheim
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    Universität Potsdam, Universitätsbibliothek
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19111
    Subjects: Law of Small Numbers; Trading Behavior; Disposition Effect; Return Extrapolation
    Scope: 1 Online-Ressource (circa 87 Seiten), Illustrationen
  6. Decomposing the disposition effect
    Author: Maier, Johannes K.; Fischer, Dominik Simon
    Published: [2021]
    Publisher:  Collaborative Research Center Transregio 190, [München]

    We theoretically show that there is a fundamental disconnect be- tween the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference... more

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    We theoretically show that there is a fundamental disconnect be- tween the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses re- alized. While its common measure cannot identify the disposition effect, it identifies the presence of some systematic bias. We further investigate the measure’s comparative statics regarding markets, investors’ information level, and their attention. Besides generating novel testable predictions, this analysis reveals that, in contrast to the measure’s sign, variations in its magnitude are informative for its cause.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/244328
    Series: Discussion paper / Rationality & Competition, CRC TRR 190 ; no. 288 (October 18, 2021)
    Subjects: Disposition Effect; Rational Benchmark; Investor Behavior; Behavioral Biases; Market Segments; Financial Attention; Information Level
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  7. How speculative asset characteristics shape retail investors' selling behavior
    Author: Bernard, Sabine Esther; Weber, Martin; Loos, Benjamin
    Published: [2023]
    Publisher:  [Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe], [Frankfurt am Main]

    Using German and US brokerage data we find that investors are more likely to sell speculative stocks trading at a gain. Investors' gain realizations are monotonically increasing in a stock's speculativeness. This translates into a high disposition... more

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    Using German and US brokerage data we find that investors are more likely to sell speculative stocks trading at a gain. Investors' gain realizations are monotonically increasing in a stock's speculativeness. This translates into a high disposition effect for speculative and a much lower disposition effect for non-speculative stocks. Our findings hold across asset classes (stocks, passive, and active funds) and explain cross-sectional differences in investor selling behavior which previous literature attributed primarily to investor demographics. Our results are robust to rank or attention effects and can be linked to realization utility and rolling mental account.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/268406
    Series: [SAFE working paper] ; [no. 378 (January 2023)]
    Subjects: Selling Behavior; Disposition Effect; Retail Investor; Speculation; Higher Moments of Return; Realization Utility
    Scope: 1 Online-Ressource (circa 51 Seiten), Illustrationen
    Notes:

    Erscheinungsort, Verlag, monografische Reihe und deren Zählung von der Frontdoor
  8. The effect of anticipated and experienced regret and pride on investors' future selling decisions
    Author: Lee, Carmen; Kräussl, Roman; Paas, Leo
    Published: 2012
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Edition: Version November 2012
    Series: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2012,17
    Subjects: Anlageverhalten; Verweildauer; Kapitalertrag; Gefühl; Entscheidungstheorie
    Other subjects: (stw)Anlageverhalten; (stw)Dauer; (stw)Kapitaleinkommen; (stw)Emotion; (stw)Entscheidungstheorie; Regret; Pride; Disposition Effect; Risky Decision; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
  9. The law of small numbers in financial markets
    theory and evidence
    Author: Jin, Lawrence; Peng, Cameron
    Published: 27 May 2024
    Publisher:  Centre for Economic Policy Research, London

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Universität Potsdam, Universitätsbibliothek
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19111
    Subjects: Law of Small Numbers; Trading Behavior; Disposition Effect; Return Extrapolation
    Scope: 1 Online-Ressource (circa 87 Seiten), Illustrationen
  10. Is the market held by institutional investors?
    the disposition effect revisited
    Author: Croonenbroeck, Carsten; Matkovskyy, Roman
    Published: 2013
    Publisher:  Europa-Univ. Viadrina, Dep. of Business Administration and Economics, Frankfurt, Oder

    Czarnitzki and Stadtmann (2005) measure the interdependence of demand for investment advice (approximated by sales of investor magazines) and stock prices. They find strong evidence that confirms the presence of the disposition effect, i.e. the... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Czarnitzki and Stadtmann (2005) measure the interdependence of demand for investment advice (approximated by sales of investor magazines) and stock prices. They find strong evidence that confirms the presence of the disposition effect, i.e. the empirical observation that investors sell winners (too) early and abide losers (too) long. We re-investigate their findings and confirm that the effect is very well present in the formerly analyzed time frame, but clearly wears off afterward. As an explanation for the decline, we provide three lines of argumentation and show that disposition effect might dependent on the shareholder structure, which is in line with the theory.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/80329
    Series: Discussion paper / European University Viadrina, Department of Business Administration and Economics ; 338
    Subjects: Disposition Effect; Market Decisions; Market Efficiency; Financial Crisis; Market Structure
    Scope: Online-Ressource (10 S.), graph. Darst.
  11. The disposition effect in closed-end fund market
    Author: Jiao, Peiran
    Published: 2016
    Publisher:  [Nuffield College, University of Oxford], [Oxford]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [Economics working papers] ; [2016-W09]
    Subjects: Closed-End Fund; Disposition Effect; Reference Points
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen