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The disposition effect in securities trading: an experimental analysis

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  • Weber, Martin
  • Camerer, Colin F.
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    File URL: http://www.sciencedirect.com/science/article/B6V8F-3SWSJJT-2/2/53d9f3900c5f10bc8ad32568c2a6f0ce
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

    Volume (Year): 33 (1998)
    Issue (Month): 2 (January)
    Pages: 167-184

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    Handle: RePEc:eee:jeborg:v:33:y:1998:i:2:p:167-184

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    1. Copeland, Thomas E & Friedman, Daniel, 1991. " Partial Revelation of Information in Experimental Asset Markets," Journal of Finance, American Finance Association, vol. 46(1), pages 265-95, March.
    2. Robert J. Shiller & Karl E. Case, 1988. "The Behavior of Home Buyers in Boom and Post-Boom Markets," Cowles Foundation Discussion Papers 890, Cowles Foundation for Research in Economics, Yale University.
    3. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March.
    4. Richard H. Thaler & Eric J. Johnson, 1990. "Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice," Management Science, INFORMS, vol. 36(6), pages 643-660, June.
    5. Kroll, Yoram & Levy, Haim, 1992. "Further Tests of the Separation Theorem and the Capital Asset Pricing Model," American Economic Review, American Economic Association, vol. 82(3), pages 664-70, June.
    6. Kroll, Yoram & Levy, Haim & Rapoport, Amnon, 1988. "Experimental Tests of the Separation Theorem and the Capital Asset Pricing Model," American Economic Review, American Economic Association, vol. 78(3), pages 500-519, June.
    7. Shefrin, Hersh & Statman, Meir, 1985. " The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-90, July.
    8. Richard Thaler, 1985. "Mental Accounting and Consumer Choice," Marketing Science, INFORMS, vol. 4(3), pages 199-214.
    9. O'Brien, John & Srivastava, Sanjay, 1991. " Dynamic Stock Markets with Multiple Assets: An Experimental Analysis," Journal of Finance, American Finance Association, vol. 46(5), pages 1811-38, December.
    10. Ferris, Stephen P & Haugen, Robert A & Makhija, Anil K, 1988. " Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect," Journal of Finance, American Finance Association, vol. 43(3), pages 677-97, July.
    11. Robin M. Hogarth & Hillel J. Einhorn, 1990. "Venture Theory: A Model of Decision Weights," Management Science, INFORMS, vol. 36(7), pages 780-803, July.
    12. Copeland, Thomas E & Friedman, Daniel, 1987. " The Effect of Sequential Information Arrival on Asset Prices: An Experimental Study," Journal of Finance, American Finance Association, vol. 42(3), pages 763-97, July.
    13. Rapoport, Amnon & Zwick, Rami & Funk, Sandra G., 1988. "Selection of portfolios with risky and riskless assets: Experimental tests of two expected utility models," Journal of Economic Psychology, Elsevier, vol. 9(2), pages 169-194, June.
    14. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    15. Rakesh K. Sarin & Martin Weber, 1993. "Effects of Ambiguity in Market Experiments," Management Science, INFORMS, vol. 39(5), pages 602-615, May.
    16. Andreassen, Paul B., 1988. "Explaining the price-volume relationship: The difference between price changes and changing prices," Organizational Behavior and Human Decision Processes, Elsevier, vol. 41(3), pages 371-389, June.
    17. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 109-126, March.
    18. Kroll, Yoram & Levy, Haim & Rapoport, Amnon, 1988. "Experimental tests of the mean-variance model for portfolio selection," Organizational Behavior and Human Decision Processes, Elsevier, vol. 42(3), pages 388-410, December.
    19. Thaler, Richard, 1980. "Toward a positive theory of consumer choice," Journal of Economic Behavior & Organization, Elsevier, vol. 1(1), pages 39-60, March.
    20. Kahneman, Daniel & Knetsch, Jack L & Thaler, Richard H, 1990. "Experimental Tests of the Endowment Effect and the Coase Theorem," Journal of Political Economy, University of Chicago Press, vol. 98(6), pages 1325-48, December.
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