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does the consciousness of the disposition effect increase the equity premium

does the consciousness of the disposition effect increase the equity premium

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时间：2018-02-10

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1、THEJOURNALOFBEHAVIORALFINANCE,10:138151,2009CopyrightCTheInstituteofBehavioralFinanceISSN:1542-7560print/1542-7579onlineDOI:10.1080/15427560902904628DoestheConsciousnessoftheDispositionEffectIncreasetheEquityPremium?PatrickRogerStrasbourgUniversity,EMStrasbourgBusinessSchool,LARGEResea

2、rchCenterThedispositioneffectisawell-establishedphenomenonintheempiricalandexperimentalfinancialliterature.Itleadstosellwinnerstooearlyandtoholdloserstoolong.Inthispaper,weshowthattheconsciousnessofthedispositioneffectbyinvestorsleadthemtorequireagreaterriskpremiumtoinvestinstocks(whenco

3、mparedtorationalinvestors).Wealsoanalyzetheroleoftheevaluationperiodfordispositioninvestors.Weshowthattheriskpremiumtheyrequireisadecreasingfunctionofthedelaybetweentwoevaluationsoftheirportfolio.Theinfluenceoftheevaluationperiodontheequitypremiumlooksliketheoneinducedbymyopiclossaversio

4、n(Benartzi-Thaler[1995]),buttheoriginisdifferent.Valuingmoreoftenaportfoliogivesmoreoccasionstosellwinningstocksandthendecreasestheexpectedreturn.ThispointisanalyzedbyassumingthatreturnsaredrivenbyaBrownianmotionandthatinvestorsevaluatetheirportfolioatregularlyspaceddates.Keywords:Dispo

5、sitioneffect,Equitypremiumpuzzle,Lossaversion,BehavioralfinanceINTRODUCTIONThisleadstothequestionweaddressinthispaper.DoestheconsciousnessofthedispositioneffectgenerateanincreaseThedispositioneffectisthetendencyofinvestorstosellintheequitypremiumrequiredbyaninvestor?Ifso,isthewinningstoc

6、kstooearlyandtoholdlosingstockstoolong.riskpremiumvariationsizeable?ItwasfirstanalyzedbyShefrinandStatman[1985]andTothebestofourknowledge,thisquestionhasneverconfirmedonindividualdatabyOdean[1998],amongothers.beendirectlyaddressedintheliterature.TheinfluenceoftheExperimentalevidenceofthedi

7、spositioneffecthasalsobeendispositioneffectontheequitypremiumhasbeenanalyzedobtainedbyWeberandCamerer[1998].throughtheroleitplaysinchangingthedemandfunctionofSellingwinningstockstooearlycanrefertoself-controldispositioninvestors.Inparticular,GrinblattandHan[2005]problems,toanir

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