The anatomy of the disposition effect: Which factors are most important?

被引：10
|
作者：
Ahn, Yongkil [1 ]
机构：
[1] Seoul Natl Univ Sci & Technol, 232 Gongneung Ro, Seoul 01811, South Korea
来源：
FINANCE RESEARCH LETTERS | 2022年 / 44卷
关键词：
Disposition effects; Feature selection; Machine learning; LOSS AVERSION; INVESTORS; OVERCONFIDENCE; PERFORMANCE; RELUCTANT; SELECTION; DECISION; BEHAVIOR; REALIZE; GENDER;
D O I：
10.1016/j.frl.2021.102040
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This study analyzes the complete trading records, as well as the detailed individual-level survey responses of 76,172 retail investors to examine the relative importance of many factors that are associated with the disposition effect, which involves the tendency to take gains too early while holding on to losses. Feature selection techniques unveil that gender, loss aversion, and investor sophistication are the keys to grasping the disposition effect.
引用
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页数：6
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