What Drives the Disposition Effect? An Analysis of a Long‐Standing Preference‐Based Explanation
检验前景理论偏好能否预测处置效应，发现基于年度盈亏的模型常失败，而基于已实现盈亏的模型更可靠，对理解个人投资者交易行为有参考价值。
ABSTRACT We investigate whether prospect theory preferences can predict a disposition effect. We consider two implementations of prospect theory: in one case, preferences are defined over annual gains and losses; in the other, they are defined over realized gains and losses. Surprisingly, the annual gain/loss model often fails to predict a disposition effect. The realized gain/loss model, however, predicts a disposition effect more reliably. Utility from realized gains and losses may therefore be a useful way of thinking about certain aspects of individual investor trading.