Evaluation Periods and Asset Prices in a Market Experiment
AbstractWe test whether the frequency of feedback information about the performance of an investment portfolio and the flexibility with which the investor can change it influence her risk attitude in markets.In line with the prediction of Myopic Loss Aversion (Benartzi and Thaler, 1995), we find that more information and more flexibility result in less risk taking.Market prices of risky assets are significantly higher if feedback frequency and decision flexibility are reduced.This result supports the findings from individual decision making, and shows that markets do not eliminate such behavior.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2002-8.
Date of creation: 2002
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information; portfolio investment; performance; financial risk; asset valuation;
Other versions of this item:
- Uri Gneezy & Arie Kapteyn & Jan Potters, 2003. "Evaluation Periods and Asset Prices in a Market Experiment," Journal of Finance, American Finance Association, vol. 58(2), pages 821-838, 04.
- Uri Gneezy & Arie Kapteyn & Jan Potters, 2002. "Evaluation Periods and Assett Prices in a Market Experiment," Working Papers 02-02, RAND Corporation Publications Department.
- NEP-ALL-2002-03-14 (All new papers)
- NEP-EXP-2002-03-14 (Experimental Economics)
- NEP-FMK-2002-03-14 (Financial Markets)
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