This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Haigh, Michael
List, John

Additional information is available for the following registered author(s):

Abstract

Two behavioral concepts, loss aversion and mental accounting, have recently been combined to provide a theoretical explanation of the equity premium puzzle. Recent experimental evidence suggests that undergraduate students’ behavior is consistent with this “myopic loss aversion” conjecture. Our suspicion is that, much like certain anomalies in the realm of riskless decisions, these behavioral tendencies will be severely attenuated when real market players are put to the task. Making use of a unique subject pool—professional futures and options pit traders recruited from the Chicago Board of Trade—we do find behavioral differences between professionals and students. Yet, rather than discovering that the anomaly disappears, the data suggest that professional traders exhibit myopic loss aversion to a greater extent than undergraduate students.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://purl.umn.edu/28554
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by University of Maryland, Department of Agricultural and Resource Economics in its series Working Papers with number 28554.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: 2002
Date of revision:
Handle: RePEc:ags:umdrwp:28554

Contact details of provider:
Phone: 301-405-1290
Fax: 301-314-9032
Web page: http://www.arec.umd.edu/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (AgEcon Search).

Related research
Keywords: Marketing;

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Penny Burns, 1985. "Experience and Decision Making: A Comparison of Students and Businessmen in a Simulated Progressive Auction," Framed Field Experiments 0016, The Field Experiments Website.
  2. Gneezy, U. & Kapteyn, A. & Potters, J., 2002. "Evaluation periods and asset prices in a market experiment," Discussion Paper 8, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  3. John A. List, 2002. "Preference Reversals of a Different Kind: The "More Is Less" Phenomenon," American Economic Review, American Economic Association, vol. 92(5), pages 1636-1643, December. [Downloadable!]
  4. Theodore W. Schultz, 1962. "Reflections on Investment in Man," Journal of Political Economy, University of Chicago Press, vol. 70, pages 1. [Downloadable!] (restricted)
  5. John A. List, 2004. "Neoclassical Theory Versus Prospect Theory: Evidence from the Marketplace," Framed Field Experiments 0047, The Field Experiments Website. [Downloadable!]
    Other versions:
  6. Locke, Peter R. & Mann, Steven C., 2005. "Professional trader discipline and trade disposition," Journal of Financial Economics, Elsevier, vol. 76(2), pages 401-444, May. [Downloadable!] (restricted)
  7. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March. [Downloadable!] (restricted)
  8. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March. [Downloadable!] (restricted)
  9. Benartzi, Shlomo & Thaler, Richard H, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, MIT Press, vol. 110(1), pages 73-92, February. [Downloadable!] (restricted)
    Other versions:
  10. Gneezy, Uri & Potters, Jan, 1997. "An Experiment on Risk Taking and Evaluation Periods," The Quarterly Journal of Economics, MIT Press, vol. 112(2), pages 631-45, May.
  11. John A. List, 2003. "Does Market Experience Eliminate Market Anomalies?," The Quarterly Journal of Economics, MIT Press, vol. 118(1), pages 41-71, February. [Downloadable!] (restricted)
  12. Gollier, Christian & Lindsey, John & Zeckhauser, Richard J., 1997. "Investment Flexibility and the Acceptance of Risk," Journal of Economic Theory, Elsevier, vol. 76(2), pages 219-241, October. [Downloadable!] (restricted)
    Other versions:
Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.
Statistics
Access and download statistics

Did you know? All top Economics journals are listed on RePEc.

This page was last updated on 2009-11-11.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.