Warianty tytułu
Języki publikacji
Abstrakty
The disposition effect is an effect whereby investors tend to sell winning stocks and tend to hold losing stocks. This inclination is detrimental for investment results. Dacey and Zielonka (2008) showed the impact of the probability of further stock price rise under low stock price volatility on the disposition effect. Specifically, they showed that under low volatility, in the case of a gain, the investor is more likely to sell the winner even if the probability of the further gain is high, whereas in the case of a loss, the investor is more likely to hold the loser even when the probability of a further gain is small. In this paper we examined the disposition effect under high volatility. The general conclusion is that under high volatility, in the case of a gain, the investor behaves in the same way as for low volatility, whereas in the case of a loss, the investor is less and less likely to hold the loser as volatility increases. Thus, in the case of a loss under high volatility, the investor acts contrary to the disposition effect. This result explains the panic selling of stocks during a market collapse. (original abstract)
Twórcy
autor
- University of Idaho, USA
autor
- Warsaw University of Life Sciences - SGGW, Poland
Bibliografia
- Dacey, Raymond and Piotr Zielonka. 2008. "A Detailed Prospect Theory Explanation of the Disposition Effect," Journal of Behavioral Finance, 9: 43-50.
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
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