Realization Utility with Reference-Dependent Preferences
构建了一个可处理的实现效用模型，研究参考依赖的S型偏好如何影响动态投资中的实现收益和损失，并预测了交易量、持有期等特征，可校准到处置效应等统计量。
We develop a tractable model of realization utility that studies the role of\nreference-dependent S-shaped preferences in a dynamic investment setting with\nreinvestment. Our model generates both voluntarily realized gains and losses.\nIt makes specific predictions about the volume of gains and losses, the holding\nperiods, and the sizes of both realized and paper gains and losses that can be\ncalibrated to a variety of statistics, including the Odean measure of the\ndisposition effect. Our model also predicts several anomalies including, among\nothers, the flattening of the capital market line and a negative price for\nidiosyncratic risk.\n