A Random Utility Model for Shareholders Capturing the Disposition Effect
This work proposes a random utility model for individual trading decision in the spirit of prospect theory. This model differs from those in the literature in that empirical data of stock price and volume can be incorporated. The paper tests the model with historical data from the NYSE TAQ database. This model provides one more alternative to link prospect theory and the disposition effect. Simulation results show that this model consistently predicts the disposition effect under all circumstances.
Year of publication: |
2015
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Authors: | Ma, Alfred Ka Chun ; Cheung, Justina Yuen Ki |
Published in: |
International Journal of Applied Behavioral Economics (IJABE). - IGI Global, ISSN 2160-9802. - Vol. 4.2015, 2, p. 1-15
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Publisher: |
IGI Global |
Saved in:
Online Resource
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