Evaluation Periods and Assett Prices in a Market Experiment
AbstractThe authors test the frequency of feedback information about the performance of an investment portfolio and the flexibility with which the investor can change the portfolio influence her risk attitude in markets. In line with the prediction of Myopic Loss Aversion (Benartzi and Thaler, 1995), the authors 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 market interactions do not eliminate such behavior or its consequences for prices.
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Bibliographic InfoPaper provided by RAND Corporation Publications Department in its series Working Papers with number 02-02.
Length: 30 pages
Date of creation: Feb 2002
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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.
- Gneezy, U. & Kapteyn, A. & Potters, J.J.M., 2002. "Evaluation Periods and Asset Prices in a Market Experiment," Discussion Paper 2002-8, Tilburg University, Center for Economic Research.
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