主讲人： Meng, Juanjuan Assistant professor, 北京大学光华管理学院

Abstract:

This paper documents evidence of reference-dependent preferences from investing behavior in the stock market. It shows that aversion to losses relative to a reference point predicts a V-shaped relationship between the optimal position in a stock and current gains from that stock, in contrast to the approximately monotonic relationship implied by the standard theory. Estimates from Odean’s (1999) individual trading records show that (i) the predicted V-shape relationship exists for a large majority of investors, and (ii) expectations are the most likely determinant of investors' reference points. The V-shaped relationship and the implication of the initial purchase decision that expectations are mostly positive yield a simple explanation of the disposition effect.