Abstract
We study the relationship between market expectations, preferences, and investment behavior. We analyze individuals’ portfolio investments alongside a laboratory experiment eliciting incentivized subjective beliefs, risk preferences, and financial sophistication. Our sample consists both of investors who previously exhibited a high degree of the disposition effect as well as a control group. We find that disposition-prone investors expect a market return on a balanced portfolio of assets to be approximately 5 percentage points greater than other investors, an economically significant effect relative to a mean expected return of 14%. Moreover, we find that elicited beliefs predict future investment behavior, including the incidence of the disposition effect, as well as risk taking in general. Surprisingly, our characterizations of risk preferences are not related to the incidence of disposition effect - neither in the past nor after the experiment. Our results suggest that optimism or differences in expectations may be important aspects of the disposition effect – and thus potentially for many other documented behavioral investment biases.
- Andersen, S., Hanspal, T., Martínez-Correa, J., & Nielsen, K. M. (s.f.). Market Expectations and Investment Behavior: The Case of the Disposition Effect.
Acerca del expositor
El profesor MARTÍNEZ-CORREA es B.A y M.A in Economics de la Universidad de los Andes (Colombia) en 2003 y 2005, respectivamente. PhD in Risk Management and Insurance de Georgia State University en 2012. Actualmente, trabaja como Profesor Asociado de Economía Aplicada en el Departamento de Economía de la Copenhagen Business School. He estado en esta posición desde noviembre de 2015. Es miembro del Center for Economic Analysis of Risk (CEAR) de la Georgia State University. Trabajó para el Banco Central de Colombia en el Departamento de Estabilidad Financiera como Economista Junior entre otras instituciones en Colombia.
Su investigación se centra en la toma de decisiones bajo riesgo e incertidumbre. Estudia teóricamente cómo las personas toman decisiones financieras y de gestión de riesgos y utilizan técnicas experimentales y econométricas para probar empíricamente teorías de comportamiento bajo riesgo e incertidumbre.
Mayores informes
Maestría en Ciencias en Finanzas