Persistent Profit and Portfolio Adjustment

Leemakdej, Arnat

doi:10.2139/ssrn.2064690

Abstract

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Persistent Profit and Portfolio Adjustment

Arnat Leemakdej

Thammasat University - Faculty of Commerce and Accountancy

May 22, 2012

Abstract:
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: G11

working papers series

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Date posted: May 23, 2012

Suggested Citation

Leemakdej, Arnat, Persistent Profit and Portfolio Adjustment (May 22, 2012). Available at SSRN: http://ssrn.com/abstract=2064690 or http://dx.doi.org/10.2139/ssrn.2064690

Contact Information

Arnat Leemakdej (Contact Author)

Thammasat University - Faculty of Commerce and Accountancy ( email )

Tha Pra Chan
Bangkok, 10200
Thailand
6681 7107491 (Phone)