Disposition Effect and Diminishing Sensitivity : An Analysis Based on a Simulated Experimental Stock Market

Kohsaka, Youki; Mardyla, Grzegorz; Takenak, Shinji; Tsutsui, Yoshiro

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タイトル	Disposition Effect and Diminishing Sensitivity : An Analysis Based on a Simulated Experimental Stock Market
著者	Kohsaka, Youki Kohsaka, Youki
	Mardyla, Grzegorz Mardyla, Grzegorz
	Takenak, Shinji Takenak, Shinji
	Tsutsui, Yoshiro Tsutsui, Yoshiro
キーワード等	disposition effect
	loss aversion
	investor behavior
	experimental economics
内容	* Revised： [13-02, 2013]
内容	* Revised：Disposition Effect and Loss Aversion: An Analysis Based on a Simulated Experimental Stock Market [13-02-Rev., 2013]
抄録	We experimentally investigate the existence of the disposition effect and loss aversion as its potential cause. Our approach includes three key characteristics: (i) An environment closely mimicking actual stock markets; (ii) Individual-specific reference prices; (iii) A direct test of loss aversion as a cause of the disposition effect. We find strong support for the existence of the disposition effect as an independent hypothesis. This is an improvement over previous studies, which tested this hypothesis only jointly with others. Our results also strongly point to loss aversion, of the type postulated by prospect theory, being a source of the disposition effect.
公開者	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
更新日付	2013-04
更新日付	2013-12
掲載誌名	Discussion Papers In Economics And Business
巻	13-02-Rev.2
刊行年月	2013-12
URL	http://hdl.handle.net/11094/24714
関連情報 (references)	http://www2.econ.osaka-u.ac.jp/library/global/dp/1302R2.pdf
言語	英語
カテゴリ	ディスカッション／ワーキング・ペーパー DP/WP
カテゴリ	Discussion Papers In Economics And Business

著者版フラグ	none
NII資源タイプ	テクニカルレポート
ローカル資源タイプ	ディスカッション／ワーキング・ペーパー
dcmi資源タイプ	text
DCTERMS.bibliographicCitation	Discussion Papers In Economics And Business.13-02-Rev.2
DC.title	Disposition Effect and Diminishing Sensitivity : An Analysis Based on a Simulated Experimental Stock Market
DC.creator	Kohsaka, Youki
	Mardyla, Grzegorz
	Takenak, Shinji
	Tsutsui, Yoshiro
DC.publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
DC.language" scheme="DCTERMS.RFC1766	英語
DCTERMS.issued" scheme="DCTERMS.W3CDTF	2013-12
DC.identifier" scheme="DCTERMS.URI	http://hdl.handle.net/11094/24714
DC.subject	disposition effect
	loss aversion
	investor behavior
	experimental economics
DC.description	* Revised： [13-02, 2013]
DC.description	* Revised：Disposition Effect and Loss Aversion: An Analysis Based on a Simulated Experimental Stock Market [13-02-Rev., 2013]
DCTERMS.abstract	We experimentally investigate the existence of the disposition effect and loss aversion as its potential cause. Our approach includes three key characteristics: (i) An environment closely mimicking actual stock markets; (ii) Individual-specific reference prices; (iii) A direct test of loss aversion as a cause of the disposition effect. We find strong support for the existence of the disposition effect as an independent hypothesis. This is an improvement over previous studies, which tested this hypothesis only jointly with others. Our results also strongly point to loss aversion, of the type postulated by prospect theory, being a source of the disposition effect.
citation_title	Disposition Effect and Diminishing Sensitivity : An Analysis Based on a Simulated Experimental Stock Market
citation_author	Kohsaka, Youki
	Mardyla, Grzegorz
	Takenak, Shinji
	Tsutsui, Yoshiro
citation_publisher	Graduate School of Economics and Osaka School of International Public Policy (OSIPP) Osaka University
citation_language	英語
citation_date	2013-12
citation_journal_title	Discussion Papers In Economics And Business
citation_volume	13-02-Rev.2
citation_public_url	http://hdl.handle.net/11094/24714
citation_keywords	disposition effect
	loss aversion
	investor behavior
	experimental economics

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