Testing for the Disposition Effect on Optimal Stopping Decisions
通过实验室实验，检验个人投资者是否倾向于过早卖出盈利资产、过久持有亏损资产（处置效应），并利用最优停时理论设定理性基准，在108名受试者中量化该效应。
This paper develops a new laboratory test of the hypothesis that individual investors sell winners too early and ride losers too long. In the experiment, subjects invest in a risky asset, whose price evolves in near-continuous time, and they are provided with the option to liquidate it at a fixed salvage value. Optimal behavior is characterized by an upper and a lower stopping thresholds in the asset price space, thus producing a clear rational benchmark and eliminating known confounds. This design allows me to detect and quantify the disposition effect in a sample of 108 subjects.