Persistent Profit and Portfolio Adjustment
Thammasat University - Faculty of Commerce and Accountancy
May 22, 2012
This study investigates investors’ behaviors on their portfolio adjustment after gain and loss. Using a unique data set of transaction data, the study supports the prospect theory that the investors will be more cautious after two consecutive gains. They reduce their portfolio’s systematic risk by giving less weight on large capitalization stocks. Investors fix their gain or loss relative to the purchasing price of the stocks.
Number of Pages in PDF File: 24
Keywords: disposition effect
JEL Classification: G11working papers series
Date posted: May 23, 2012
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