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제목 How Fast Investors Close Positions? Liquidation Decisions under Prospect Theory(최혁, 엄윤성)
작성자 관리자 조회수 5060 작성일 2009.06.09
This paper examines the trading behavior with respect to prospect theory from an intraday analysis. The holding time of losers is longer than that of losers. In terms of holding time and profit, investors have the disposition effect. Using the Cox proportional hazards model, we find that the propensity to liquidate is not always positively related to the amount of the capital gain. Investors are more likely to hold longer losers than winners under a critical point, but to hold longer winners than losers over the critical point. From the perspective of an S-shaped utility function in prospect theory, our finding suggests that the disposition effect and the break-even effect play an important role in liquidation decisions.
첨부파일 첨부파일 [최혁,엄윤성].pdf

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