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

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

doi:10.1080/15427560.2017.1308941

Cited by 9 publications

(4 citation statements)

References 35 publications

(45 reference statements)

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“…As Odean (1998Odean ( , p. 1782 In a post-experimental questionnaire, we elicit subjects' most likely reference price and find that it is the average price (see the online appendix). This approach is also used in Kohsaka et al (2013), with similar results. Therefore, we shall use the weighted average reference price to calculate both PGR and PLR throughout the paper.…”

Section: Resultsmentioning

confidence: 84%

An experimental analysis of the disposition effect: Who and when?

Cueva

Iturbe-Ormaetxe

Ponti

et al. 2019

Journal of Behavioral and Experimental Economics

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The disposition effect (DE) is a common bias by which investors tend to sell winning assets too soon and hold losing assets too long. We complement the existing evidence in three directions. First, we check whether the DE is robust to realistic features such as transaction costs and competitive payment schemes. Second, by using a gender-balanced design, we check for gender differences. Third, we search for psychological correlates of the DE. We find that the DE is positive and significant in all our treatments. We do not find significant differences across treatments, although transaction costs significantly reduce the propensity to sell both winners and losers. We find somewhat larger DE in women, but this effect is only significant in the second half of the experiment. On the other hand, women are more reluctant to sell losing assets throughout the experiment. Finally, we find that the most significant psychological predictors of the DE are difficulty recognizing one's mistakes and optimism. Subjects scoring high in these traits are less likely to sell at a loss and therefore exhibit a larger DE. Our results provide further suggestive evidence of cognitive dissonance as an important determinant of the DE.

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Section: Resultsmentioning

confidence: 84%

An experimental analysis of the disposition effect: Who and when?

Cueva

Iturbe-Ormaetxe

Ponti

et al. 2019

Journal of Behavioral and Experimental Economics

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“…Although 40 years have passed, Kahneman and Tversky's (1979) prospect theory, one of the milestones of behavioral finance, continues to be approached extensively in academia, as do heuristics, biases, and the disposition effect. Current articles dealing with the prospect theory and adding other elements include those by Jiao (2017) and Kohsaka et al (2017).…”

Section: Behavioral Finance: Background and Consolidationmentioning

confidence: 99%

Behavioral Finance Experiments: A Recent Systematic Literature Review

2020

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This article aims to elaborate a systematic literature review (SLR) on the subject of experiments in behavioral finance, including papers published between 2014 and 2018. Methodology involved the careful selection of articles published in Web of Science and Scopus databases, and bibliometric analysis was applied. Final sample included 60 articles, the Journal of Behavioral Finance was the most productive journal and the majority of the 152 authors worked in the Americas. For cocitation, important authors, such as Kahneman and Tversky and Barber and Odean were among the most cited and with greater relational ties. For bibliographic coupling, Bursztyn et al. and Bigelow et al. were the most cited, whereas Kadous et al. presented more relational ties. The research contribution lies in the application of the SLR to a growing research area, allowing to know the most relevant subjects, articles, journals, authors, and countries in the area nowadays.

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“…Indeed, Li and Yang (2013) and Kohsaka et al . (2017) found that people with stronger risk‐seeking propensity display a stronger disposition effect. Meanwhile, Shumway and Wu (2006) empirically analyzed Shanghai stock exchange traders and found that traders who display a disposition effect earn lower profits.…”

Section: Appendix Bmentioning

confidence: 99%

Is Homo Economicus An Ideal to be Pursued? Using US and Japan Survey Data*

Yamane¹,

Yoneda²,

Tsutsui

2020

Asian Economic Journal

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This study investigated how the various characteristics of Homo economicus (intellectual ability, self‐control, selfishness, fairness and pursuit of monetary gain) correlate with individual performance. We adopted income and happiness as measures of individual performance. Using large‐scale survey data from Japan and the USA, we found that: (i) generally, Homo economicus is an ideal person from the perspective of economic success; (ii) Homo economicus has many traits that make her/him unhappy; (iii) intellectual ability is a strong trait of Homo economicus for both economic success and happiness; and (iv) the results for Japan and the USA are quite similar.

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

Cited by 9 publications

References 35 publications

An experimental analysis of the disposition effect: Who and when?

An experimental analysis of the disposition effect: Who and when?

Behavioral Finance Experiments: A Recent Systematic Literature Review

Is Homo Economicus An Ideal to be Pursued? Using US and Japan Survey Data*

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