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History-dependent risk preferences : evidence from individual choices and implications for the disposition effect
Andrikogiannopoulou, Angie; Papakonstantinou, Filippos - 2015 - June 2015
Using trading data from a sports-wagering market, we estimate individuals' dynamic risk preferences within the prospect-theory paradigm. This market's experimental-like features facilitate preference estimation, and our long panel enables us to study whether preferences vary across individuals...
Persistent link: https://www.econbiz.de/10011296081
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If George Costanza Were a Hedge Fund Manager
White, James - 2019
Continuously rebalanced long-short trades are similar to highly levered trades in that their PNL profile depends not only on the final distribution of return, but also on the realized co-variance structure of the asset pair. It's easily possible for both orientations of a rebalanced long-short...
Persistent link: https://www.econbiz.de/10012894939
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Value Functions for Prospect Theory Investors : An Empirical Evaluation for US Style Portfolios
Spyrou, Spyros I. - 2015
We employ two reward and risk measures, the Upper Partial Moment and the Lower Partial Moment, in order to maximize different value functions under the budget and the short-selling constraints. We find that agents seem to prefer small capitalization and high value stock portfolios (which are...
Persistent link: https://www.econbiz.de/10013021428
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The consequences of narrow framing for risk-taking : a stress test of myopic loss aversion
Schwaiger, Rene; Strucks, Markus; Zeisberger, Stefan - 2024
Narrow bracketing in combination with loss aversion has been shown to reduce individual risk-taking. This is known as myopic loss aversion (MLA) and has been corroborated by many studies. Recent evidence has contested this notion indicating that MLA's applicability is confined to highly...
Persistent link: https://www.econbiz.de/10014512884
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The Disposition Effect under the Reference Dependent Smooth Model of Ambiguity
Iwaki, Hideki - 2019
/she gets her/his utility from the realized gains and losses. We try to explain the effect by incorporating ambiguity attitude … which varies depending on the reference point. We extend the smooth model of ambiguity by Klibanoff et al. (2005) to depend … dependent smooth model of ambiguity if the investor gets her/his utility from the realized gains and losses although we cannot …
Persistent link: https://www.econbiz.de/10012862541
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Skewness expectations and portfolio choice
Drerup, Tilman H.; Wibral, Matthias; Zimpelmann, Christian - 2022
Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad...
Persistent link: https://www.econbiz.de/10012805556
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The return expectations of institutional investors
Andonov, Aleksandar; Rauh, Joshua - 2019
Analysis of required expected return disclosures by public pension funds in individual asset classes reveals a reliance on past performance in setting return expectations. These extrapolative expectations operate through the expected risk premium and occur across all risky asset classes. Pension...
Persistent link: https://www.econbiz.de/10011976289
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Measuring the degree to which probability weighting affects risk-taking behavior in financial decisions
Mattos, Fabio; García, Philip - In: Journal of finance and investment analysis 1 (2012) 2, pp. 1-39
The paper investigates the importance of probability weighting in financial decisions and examines the degree to which risk-taking behavior deviates from expected utility theory in the presence of probability weighting. A group of professional traders participates in an experiment, whose data...
Persistent link: https://www.econbiz.de/10009566629
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The Implications of Passive Investing for Securities Markets
Sushko, Vladyslav - 2018
securities markets in two key ways. First, it could result in higher correlation of returns and less security-specific price …
Persistent link: https://www.econbiz.de/10012925144
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The momentum effect exemplifies the influence of investors' irrational behaviour on prices of shares and stocks : an analysis of the momentum effect on the Warsaw Stock Exchange
Merło, Paweł; Konarzewski, Patryk - In: E-Finanse : finansowy kwartalnik internetowy 11 (2015) 1, pp. 56-64
An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However,...
Persistent link: https://www.econbiz.de/10011393280