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Finance comportementale et dynamique des prix des actifs : Une application par la méthode expérimentale

Author

Listed:
  • Mondher Bouattour

    (LGC - Laboratoire de Gestion et de Cognition - UT3 - Université Toulouse III - Paul Sabatier - UT - Université de Toulouse, Groupe Sup de Co La Rochelle)

  • Anthony Miloudi

    (Groupe Sup de Co La Rochelle, CRIEF [Poitiers] - Centre de recherche sur l'intégration économique et financière - UP - Université de Poitiers = University of Poitiers)

Abstract

The purpose of this article is to study the influence of the disposition effect on the dynamics of asset prices based on two complementary behavioral theories: prospect theory and mental accounting. The main contribution of our paper consists of a simulation of 12 laboratory markets in which the interactions between participants take place through a computer network. We consider an experimental framework to study the behavior of subjects in a controlled environment. Our experimental protocol consists of two treatments (T1 and T2) with six sessions each. These two treatments differ according to the level of information disclosed to the subjects. As such, we validate the presence of a "reversed disposition effect" that investors who hold securities that incorporate good news will tend to keep them, while those who are losing stocks prefer to sell them.

Suggested Citation

  • Mondher Bouattour & Anthony Miloudi, 2016. "Finance comportementale et dynamique des prix des actifs : Une application par la méthode expérimentale," Post-Print hal-04028536, HAL.
    • Handle: RePEc:hal:journl:hal-04028536
    DOI: 10.3917/resg.113.0113
    as

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