Optimal stopping decisions and the disposition effect

IF 4.3 2区经济学 Q1 BUSINESS, FINANCE

Journal of Behavioral and Experimental Finance Pub Date : 2024-06-01 DOI:10.1016/j.jbef.2024.100938

Yongkil Ahn

引用次数: 0

Abstract

I conduct lab-in-the-field experiments using a stylized optimal stopping problem, through which I separately identify the exact threshold values for the disposition effect in the gain and loss domains. I further combine the experimental results with actual account-level trading records. Remarkably, I discover that solely the disposition effect indicator within the gain domain exhibits a positive correlation with the actual disposition effect observed in the stock market. This asymmetry in financial decision-making between the gain and loss domains suggests that individual investors may render suboptimal decisions primarily when confronted with gains.

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最佳停车决策和处置效应

我利用一个风格化的最优止损问题进行了实验室-现场实验，通过实验，我分别确定了收益和亏损领域处置效应的确切阈值。我进一步将实验结果与实际账户交易记录相结合。值得注意的是，我发现只有收益领域的处置效应指标与股市中观察到的实际处置效应呈现正相关。收益和亏损领域之间金融决策的这种不对称性表明，个人投资者可能主要在面对收益时做出次优决策。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Behavioral and Experimental Finance BUSINESS, FINANCE-

CiteScore

13.20

自引率

6.10%

发文量

审稿时长

69 days

期刊介绍： Behavioral and Experimental Finance represent lenses and approaches through which we can view financial decision-making. The aim of the journal is to publish high quality research in all fields of finance, where such research is carried out with a behavioral perspective and / or is carried out via experimental methods. It is open to but not limited to papers which cover investigations of biases, the role of various neurological markers in financial decision making, national and organizational culture as it impacts financial decision making, sentiment and asset pricing, the design and implementation of experiments to investigate financial decision making and trading, methodological experiments, and natural experiments. Journal of Behavioral and Experimental Finance welcomes full-length and short letter papers in the area of behavioral finance and experimental finance. The focus is on rapid dissemination of high-impact research in these areas.