Logo
Munich Personal RePEc Archive

Disposition Effect and its outcome on endogenous price fluctuations

Cafferata, Alessia and Tramontana, Fabio (2022): Disposition Effect and its outcome on endogenous price fluctuations.

[thumbnail of MPRA_paper_113904.pdf]
Preview
PDF
MPRA_paper_113904.pdf

Download (1MB) | Preview

Abstract

We develop a financial market model where a group of traders is af- fected by Disposition Effect, namely they are reluctant to realize losses. In particular, we present a set of stylized facts of financial markets (fat tails, volatility clustering, etc...) that can also be caused by the DE when the trading behaviour of agents are consistent with the findings of Ben-David and Hirshleifer (2012). In order to do that, we show that the version of the model where a class of agents is endowed with a high degree of Dispo- sition Effect, permits to obtain simulated time series whose features are closer to those of real financial market with respect to the version of the model where traders are not affected by it. This happens both for the deterministic version and the stochastic one.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.