Realization Utility with Reference-Dependent Preferences

Autor:	Ingersoll Jr., Jonathan E., Jin, Lawrence J.
Rok vydání:	2014
Předmět:	Quantitative Finance - General Finance
Druh dokumentu:	Working Paper
DOI:	10.1093/rfs/hhs116
Popis:	We develop a tractable model of realization utility that studies the role of reference-dependent S-shaped preferences in a dynamic investment setting with reinvestment. Our model generates both voluntarily realized gains and losses. It makes specific predictions about the volume of gains and losses, the holding periods, and the sizes of both realized and paper gains and losses that can be calibrated to a variety of statistics, including the Odean measure of the disposition effect. Our model also predicts several anomalies including, among others, the flattening of the capital market line and a negative price for idiosyncratic risk. Comment: appears in The Review of Financial Studies (2013)
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1408.2859 Zobrazit plný text záznamu View this record from Arxiv