Self-involved Belief and Disposition Effect:An Agent-based Simulation

摘要：

After a review of the extant theories on the disposition effect (DE),we examine whether DE is caused by the selfinvolved belief persistence.Based on the specification of various types of belief persistence,we employ agent-based computational simulation to generate artificial price and trading data.We test DE indirectly by the approach referred by Lakonishok and Smidt (1986) and directly as Odean (1998) does,and find selfinvolved belief persistence would generate true DE.However,if the agents are allowed to adjust their self-involved belief according to their prior sale-related belief,DE will shrink or vanish.Simple belief persistence creates mean reversion in price but no true DE in trading behavior.The main conclusion is robust to the change of other exogenous parameters.

关键词： Self involvement belief persistence

作者: Yulei RAO Diefeng PENG Yongyao CHEN

作者单位: Business School,Central South University,Changsha,P.R.China,410083

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 908-918

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）