Disposition effect

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As disposition effect the designated behavioral economics the tendency of investors to divest those shares whose value has increased, and keep those whose value has declined. Losses are felt to be about twice as strong as gains. Asymmetrical risk aversion means that private and institutional investors tend to sell profitable positions too early and hold lossy positions too long.

This loss aversion phenomenon was first described in 1979 in the prospect theory by Amos Tversky and Daniel Kahneman . 1985 first were empirical evidence of Hersh Shefrin and Meir Statman through the analysis of individual data from the years 1964-1970 provided and the phenomenon for the first time as the disposition effect ( English disposition effect ), respectively. Terrance Odean also demonstrated empirical evidence in 1998 by evaluating detailed data from 1987–1993 of 10,000 accounts selected at random from a discount broker. Laboratory experiments and the like provided experimental evidence for this effect . a. by Ferris / Haugen / Makhija (1988), by Colin Camerer and Martin Weber (1991, 1992) and by Wolfgang Gerke and Horst Bienert (1993). The disposition effect has not only been demonstrated for private investors (including so-called day traders ), but also for professional and institutional investor groups, including investment funds . The disposition effect can be interpreted as a special case of the sunk cost effect in the loss area .

Various causes for the effect are discussed in the scientific literature. So u. a. Explanations about the Prospect Theory, the concept of mental accounting and mean reversion derived and parallels to the gambler's fallacy (English Gambler's Fallacy ) pulled.

literature

  • Sebastian Haase: The disposition effect as relevant investor behavior: introduction to the explanatory approaches and the empirical findings. Springer Gabler, Wiesbaden 2016, ISBN 978-3-658-12423-6 .

Web link

Individual evidence

  1. ↑ Hersh Shefrin , Meir Statman : The disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence. In: The Journal of Finance , Volume 40 , No. 3, doi : 10.2307 / 2327802 , pp. 777-790 (English).
  2. ^ Terrance Odean : Are Investors Reluctant to Realize Their Losses? In: The Journal of Finance , Volume 53, No. 5, October 1998, doi : 10.1111 / 0022-1082.00072 , pp. 1775-1798.
  3. ↑ Stephen P. Ferris, Robert A. Haugen, Anil K. Makhija: Predicting Contemporary Volume with Historic Volume at Differential Price Levels. In: The Journal of Finance , Volume 43, No. 3, July 1988, doi : 10.2307 / 2328191 , pp. 677-697 (English).
  4. ^ Colin Camerer , Martin Weber : The disposition effect in securities trading: an experimental analysis. In: Journal of Economic Behavior & Organization , Volume 33, No. 2, January 1991, pp. 167-184 (English).
  5. ↑ Colin Camerer, Martin Weber: An experiment on investor behavior. In: Schmalenbach's magazine for business research (ZfbF) , Vol. 44, No. 2/1992, pp. 131–148.
  6. ↑ Wolfgang Gerke , Horst Bienert : Review of the disposition effect and its effects in computerized stock exchange experiments. In: Wolfgang Bühler (ed.): Empirical capital market research (= Schmalenbach's journal for business research . Special issue 31). Handelsblatt publishing group, Düsseldorf / Frankfurt am Main 1993, ISBN 3-7754-0072-9 , pp. 169–194.
  7. ↑ Sebastian Haase: Professional and institutional investors. In: ders .: The disposition effect as relevant investor behavior: Introduction to the explanatory approaches and the empirical findings. Springer Gabler, Wiesbaden 2016, ISBN 978-3-658-12423-6 , pp. 29–32.
  8. ↑ Martina Steul: Disposition effect of private investors. In: dies .: Risk behavior of private investors: Implications for financial services marketing. Gabler Edition Wissenschaft, Deutscher Universitätsverlag, Wiesbaden 2003, ISBN 978-3-8244-7965-8 , p. 92f (also: Univ. Frankfurt am Main, dissertation, 2003).
  9. ↑ Martina Steul: Disposition effect of private investors. In: dies .: Risk behavior of private investors: Implications for financial services marketing. Gabler Edition Wissenschaft, Deutscher Universitätsverlag, Wiesbaden 2003, ISBN 978-3-8244-7965-8 , pp. 92–96 (also: Univ. Frankfurt am Main, dissertation, 2003).