Earticle

초록

영어

This paper examines the trading behavior with respect to prospect theory from an intraday analysis. The holding time of losers is longer than that of losers. In terms of holding time and profit, investors have the disposition effect. Using the Cox proportional hazards model, we find that the propensity to liquidate is not always positively related to the amount of the capital gain. Investors are more likely to hold longer losers than winners under a critical point, but to hold longer winners than losers over the critical point. From the perspective of an S-shaped utility function in prospect theory, our finding suggests that the disposition effect and the break-even effect play an important role in liquidation decisions.

목차

Abstract
 1. Introduction
 2. Hypotheses
 3. Data and Analytical Method
  3.1 Data
  3.2. Calculating Method of Holding Time and Profit
  3.3. Analytical Example of Calculating Holding Time and Profit
  3.4. Summary Statistics of Holding Time and Profit
 4. Trade Disposition Decision
  4.1. Cox Proportional Hazards Model
  4.2. Cox Proportional Hazards Model Estimation
  4.3. Cox Proportional Hazards Model Estimation Results
  4.4. Robustness Check
 5. Conclusion
 References
 Table

키워드

저자

• Hyuk Choe [ Seoul National University ]
• Yunsung Eom [ Hansung University ] Corresponding author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330