https://scholars.lib.ntu.edu.tw/handle/123456789/103587
Title: | A Heterogeneous Model of Disposition Effect | Authors: | Hung, Mao-Wei Yu, H.-Y. |
Issue Date: | 2006 | Journal Volume: | 38 | Journal Issue: | 18 | Start page/Pages: | 2147-2157 | Source: | Applied Economics | Abstract: | A portfolio choice model is provided to illustrate the disposition effect under irrational belief in mean reversion assumption. Higher cognitive reference, stronger irrational belief in mean reversion magnitude and less risk aversion all strengthen the disposition effect in the model. The equilibrium market interest rate is priced after the market clearing condition is employed. The grater disposition effect reduces the capital mobility from the stock market to the bond market and thus mitigates the dropping of the market interest rate. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/84749 https://www.scopus.com/inward/record.uri?eid=2-s2.0-33749852144&doi=10.1080%2f00036840500427403&partnerID=40&md5=4bd0c6f3f38dc55025b7b74d987e0ed8 |
ISSN: | 00036846 | DOI: | 10.1080/00036840500427403 | SDG/Keyword: | capital flow; interest rate; market conditions; model; stock market |
Appears in Collections: | 國際企業學系 |
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