Rational disposition effects: Theory and evidence

Daniel Dorn, Günter Strobl (Korresp. Autor*in)

Veröffentlichungen: Beitrag in FachzeitschriftArtikelPeer Reviewed

Abstract

The disposition effect is a longstanding puzzle in financial economics. This paper demonstrates that it is not intrinsically at odds with rational behavior. In a rational expectations model with asymmetrically informed investors, trading strategies as predicted by the disposition effect can arise as an optimal response to dynamic changes in the information structure. The model predicts that the disposition behavior of uninformed investors weakens after events that reduce information asymmetries. The data, trading records of 50,000 clients at a German discount brokerage firm from 1995 to 2000, are consistent with this prediction.
OriginalspracheEnglisch
Aufsatznummer106858
Seitenumfang19
FachzeitschriftJournal of Banking & Finance
Jahrgang153
DOIs
PublikationsstatusVeröffentlicht - Aug. 2023

ÖFOS 2012

  • 502009 Finanzwirtschaft

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