[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/p/lar/wpaper/2008-09.html
   My bibliography  Save this paper

Are French Individual Investors reluctant to realize their losses?

Author

Listed:
  • Boolell-Gunesh S.

    (Laboratoire de Recherche en Gestion et Economie, Université Louis Pasteur)

  • Broihanne M-H.
  • Merli M.
Abstract
We analyze the presence of the disposition effect for 90 244 French individual investors based on a large brokerage account database between 1999 and 2006. Main results show that a) French investors demonstrate a strong preference for realizing their winning stocks rather than their losing ones (disposition effect).b) the behavioral bias is not eliminated for sophisticated individual investors (higher trading activity or international diversification) c) more originally, based on French account specificities, we demonstrate that the change of “fiscal account type” does not imply a change in investors’ behavior (at an individual level of the disposition effect).

Suggested Citation

  • Boolell-Gunesh S. & Broihanne M-H. & Merli M., 2008. "Are French Individual Investors reluctant to realize their losses?," Working Papers of LaRGE Research Center 2008-09, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
    • Handle: RePEc:lar:wpaper:2008-09
    as

    Download full text from publisher

    File URL: http://ifs.u-strasbg.fr/large/publications/2008/2008-09.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Tversky, Amos & Kahneman, Daniel, 1992. "Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
    2. Shapira, Zur & Venezia, Itzhak, 2001. "Patterns of behavior of professionally managed and independent investors," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1573-1587, August.
    3. Richard H. Thaler & Eric J. Johnson, 1990. "Gambling with the House Money and Trying to Break Even: The Effects of Prior Outcomes on Risky Choice," Management Science, INFORMS, vol. 36(6), pages 643-660, June.
    4. Kyle, Albert S. & Ou-Yang, Hui & Xiong, Wei, 2006. "Prospect theory and liquidation decisions," Journal of Economic Theory, Elsevier, vol. 129(1), pages 273-288, July.
    5. Weber, Martin & Camerer, Colin F., 1998. "The disposition effect in securities trading: an experimental analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 167-184, January.
    6. Nicholas Barberis & Wei Xiong, 2009. "What Drives the Disposition Effect? An Analysis of a Long‐Standing Preference‐Based Explanation," Journal of Finance, American Finance Association, vol. 64(2), pages 751-784, April.
    7. Brad M. Barber & Yi‐Tsung Lee & Yu‐Jane Liu & Terrance Odean, 2007. "Is the Aggregate Investor Reluctant to Realise Losses? Evidence from Taiwan," European Financial Management, European Financial Management Association, vol. 13(3), pages 423-447, June.
    8. Hens, Thorsten & Vlcek, Martin, 2005. "Does Prospect Theory Explain the Disposition Effect?," Discussion Papers 2005/18, Norwegian School of Economics, Department of Business and Management Science.
    9. Elke U. Weber & Christopher Hsee, 1998. "Cross-Cultural Differences in Risk Perception, but Cross-Cultural Similarities in Attitudes Towards Perceived Risk," Management Science, INFORMS, vol. 44(9), pages 1205-1217, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Investidor Pessoa Física
      by Roberto Ushisima in Empresas e Mercados on 2009-09-22 20:34:00

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Barrot, Jean-Noel & Kaniel, Ron & Sraer, David, 2016. "Are retail traders compensated for providing liquidity?," Journal of Financial Economics, Elsevier, vol. 120(1), pages 146-168.
    2. Shaneera Boolell-Gunesh, 2008. "Un portrait de l?investisseur individuel français," Working Papers of LaRGE Research Center 2008-12, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019. "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Leibniz Institute for Financial Research SAFE, revised 2019.
    2. Enrico Giorgi & Thorsten Hens, 2006. "Making prospect theory fit for finance," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 339-360, September.
    3. Marco Pleßner, 2017. "The disposition effect: a survey," Management Review Quarterly, Springer, vol. 67(1), pages 1-30, February.
    4. Shoji, Isao & Kanehiro, Sumei, 2016. "Disposition effect as a behavioral trading activity elicited by investors' different risk preferences," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 104-112.
    5. Ormos, Mihály & Joó, István, 2011. "Diszpozíciós hatás a magyar tőkepiacon [Disposition effect in the Hungarian capital market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 743-758.
    6. Cristiana Cerqueira Leal & Gilberto Loureiro & Manuel J. Rocha Armada, 2018. "Selling winners, buying losers: Mental decision rules of individual investors on their holdings," European Financial Management, European Financial Management Association, vol. 24(3), pages 362-386, June.
    7. Sarmiento, Julio & Rendón, Jairo & Sandoval, Juan S. & Cayon, Edgardo, 2019. "The disposition effect and the relevance of the reference period: Evidence among sophisticated investors," Journal of Behavioral and Experimental Finance, Elsevier, vol. 24(C).
    8. Deaves, Richard & Kluger, Brian & Miele, Jennifer, 2018. "An exploratory experimental analysis of path-dependent investment behaviors," Journal of Economic Psychology, Elsevier, vol. 67(C), pages 47-65.
    9. Nicholas Barberis & Wei Xiong, 2009. "What Drives the Disposition Effect? An Analysis of a Long‐Standing Preference‐Based Explanation," Journal of Finance, American Finance Association, vol. 64(2), pages 751-784, April.
    10. Brettschneider, Julia & Burro, Giovanni & Henderson, Vicky, 2021. "Wide framing disposition effect: An empirical study," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 330-347.
    11. Jakusch, Sven Thorsten, 2017. "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series 148, Leibniz Institute for Financial Research SAFE, revised 2017.
    12. Edika Quispe-Torreblanca & David Hume & John Gathergood & George Loewenstein & Neil Stewart, 2023. "At the Top of the Mind: Peak Prices and the Disposition Effect," Discussion Papers 2023-09, The Centre for Decision Research and Experimental Economics, School of Economics, University of Nottingham.
    13. Jonathan E. Ingersoll Jr. & Lawrence J. Jin, 2014. "Realization Utility with Reference-Dependent Preferences," Papers 1408.2859, arXiv.org.
    14. Choi, Darwin, 2019. "Disposition sales and stock market liquidity," Journal of Financial Markets, Elsevier, vol. 45(C), pages 19-36.
    15. Kahya, Evrim Hilal & Ekinci, Cumhur, 2022. "Disposition bias among Borsa Istanbul investors: What do we know about type, size and trading frequency?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 35(C).
    16. Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
    17. Thorsten Hens & Martin Vlcek, 2006. "Does Prospect Theory Explain the Disposition Effect?," IEW - Working Papers 262, Institute for Empirical Research in Economics - University of Zurich.
    18. Menkhoff, Lukas & Nikiforow, Marina, 2009. "Professionals' endorsement of behavioral finance: Does it impact their perception of markets and themselves?," Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 318-329, August.
    19. Corneille, Olivier & De Winne, Rudy & D’Hondt, Catherine, 2018. "The disposition effect does not survive disclosure of expected price trends," Journal of Behavioral and Experimental Finance, Elsevier, vol. 20(C), pages 80-91.
    20. Wang, Junbo & Wu, Chunchi & Zhong, Xiaoling, 2021. "Prospect theory and stock returns: Evidence from foreign share markets," Pacific-Basin Finance Journal, Elsevier, vol. 69(C).

    More about this item

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:lar:wpaper:2008-09. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christophe J. Godlewski (email available below). General contact details of provider: https://edirc.repec.org/data/lastrfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.