人类的判断理论和启发式驱动的偏见在当代研究中得到了很好的记录。 处置效应是一种行为偏见，最初由Shefrin和Statman在1985年确定。 处置效应是“提前出售赢家，将输家持有时间过长”的普遍趋势。 谢弗林和斯塔特曼提供了金融硕士的影响证据 篮子。 自这一发现以来，进行了广泛的实证研究。 然而，对处置效应影响的研究仅限于资本市场。 这就提出了问题 处置效应对有形投资的影响是什么？行为金融学研究拒绝对个人行为的假设，而是试图理解投资者为什么表现得像他们一样。 因为没有文献 关于处置效应对有形投资的影响，研究对行为金融理论的发展具有重要意义，以了解投资者的行为 是不理性的。 确定处置效果对有形投资收益的影响对投资者也有实际影响。 对ef的识别，量化和教育 偏见的影响可能会改善投资者的决策，从而减少投资者作出次优投资选择的倾向，从而导致财富最大化。需要ACC320代写？还是金融代写？都可以联系我们的客服哦~

1. Introduction

Human judgement theory and heuristic driven biases have been well documented in contemporary research. The disposition effect, a behavioural bias, was first identified by Shefrin and Statman (1985). The disposition effect is the general tendency to “sell winners early and to hold losers too long” (Statman & Shefrin, 1985). Shefrin and Statman (1985) provided evidence of the effect in financial markets. Since this discovery, extensive empirical research has been conducted. However the research on the impact of the disposition effect has been limited to capital markets. This raises the question, what is the influence of the disposition effect on tangible investments?

Behavioural finance research rejects assumptions about individuals’ behaviour, but instead seeks to understand why investors behave as they do (Godfrey, et al., 2010). Due to an absence of literature on the influence of the disposition effect on tangible investments, research is of significant importance to behavioural finance theory development in order to understand investor behaviour that appears to be irrational. Identifying the effect of the disposition effect on tangible investment returns also has practical implications for investors. Recognition, quantification and education of the effects of the bias may improve investors’ decision making, therefore reducing investors’ tendency to make suboptimal investment choices, resulting in wealth maximisation (Masmoudi , et al., 2011).

Education on the disposition effect heightens in importance as more investors start Self-Managed Superannuation Funds (SMSF), managing substantial sums of money. The impact of the disposition effect on property is also growing in importance as the popularity of property in SMSF’s rapidly increases (Newnham 2012), especially as investors have long seen real estate as a safe investment with the misconceived belief that property prices will never go down (Ip 2012).

In conducting the research, the disposition effect is studied across individual investors. A major focus of this paper is the comparison of the influence of the disposition effect on returns in financial markets to that of tangible assets, namely property. The research method is replicated from Odean (1998) in order to quantify the impact of the disposition effect.

This paper further contributes to the body of literature on the influence of physiological biases although this paper differs from others in this area through the examination of the disposition effect in regard to tangible investments. This paper provides a comprehensive review of existing literature and proposes a hypothesis to explore the literature gap. Furthermore, a brief description of the a research design to test the hypothesis is provided.

2. Literature Review

Behavioural finance transpired from the inability of capital markets’ research to explain market anomalies (Clayton, et al., 2009). Classical finance theory defines an asset’s value as the present value of all future income streams based on a risk-adjusted discount rate which leaves little space for irrational behaviour (Baker & Nofsigner, 2002). The behavioural finance approach recognises that investors are less than fully rational and that behavioural biases influence financial decision making (Hon-Snir, et al., 2012). The phenomena that investors tend to “sell winners too early and ride losers too long” was first documented as the disposition effect by Shefrin and Statman (1985). The existence of the disposition effect has been continually confirmed by a number of authors (Hens & Vlcek, 2011).

Shefrin and Statman (1985) also provided a explanation for the disposition effect based on prospect theory (Kahnemann & Tversky, 1976) and mental accounting (Thaler, 1985). The disposition effect is generally accepted to have originated from prospect theory developed by Kahnemann and Tversky (1979) despite some alternative explanations in subsequent literature (Hens & Vlcek, 2011). Prospect theory incorporates a value function which is concave for gains and convex for losses, where the convex for losses is steeper than that for gains, reflecting risk aversion in respect to gains and risk seeking in respect to losses (Kahnemann & Tversky, 1976). The conclusion of prospect theory is that investors are “less willing to gamble with profits than with losses” (Tvede, 1999).

An alternative explanation for the motivation behind selling winners more readily than losers is the expectation of mean reverting price; that is, today’s winners will be tomorrows losers and vice versa (Hens & Vlcek, 2011). Mean reversion hypothesis was first rejected as an explanation for the disposition effect by Weber and Camerer (1998) and further confirmed by Odean (1998).

The disposition effect has been studied in three distinct categories of data; aggregate, individual and experimental (Hens & Vlcek, 2011). The aggregate data consolidates all trades and traders to derive an average; whereas individual data takes into consideration each investor and individual stocks (Hon-Snir, Kudryavtsev & Cohen 2012). Experimental data is collected by employing experimental design (Hon-Snir, Kudryavtsev & Cohen 2012). The central focus of this paper is to examine the disposition effect across individual investors. The individualist method uses the securities price as a reference point.

Odean’s (1998) research significantly contributed to literature on the disposition effect. The study provided evidence that newly purchased stocked underperformed by 2.35% in comparison to the previously sold stocks. In other words, “the prices of winner stocks, which investors have sold, keep on rising, whereas the prices of loser stocks, which investors have not sold, keep on falling”. Therefore, investors would have increased returns and reduced losses if they were not influenced by the disposition effect (Odean, 1998). In the same paper, Odean (1998) quantified the impact of the disposition effect on securities price by analysing the trading accounts of 10,000 investors over six years. The research concluded investors are twice as likely to sell a winning stock than a losing stock. In a similar study, Locke and Mann (2005) determined that “while all traders hold losers longer than winners, the least successful traders hold losers the longest, while the most successful traders hold losers for the shortest time”.

Grinblatt and Han (2005) was the first to establish that the dispositional behaviour leads to momentum in stock prices; which was documented by Jegadeesh and Titman (1993). Grinblatt and Han (2005) also proposed a model for predicting future returns based on the level of unrealised gains or losses of the dispositional investor. The model was validated by Shumway and Guojun (2006).

The disposition effect is caused by investors’ cognitive and emotional weaknesses. Emotions of pride and regret, specifically seeking pride and avoiding regret, result in the disposition effect (Statman & Shefrin, 1985). Emotional attachment also bears opportunity costs in terms of investments due to constraint on one’s ability to make rational investment decisions (Baker & Nofsigner, 2002). Attachment does not require physical possession (Belk, 1992) (Furby, 1978), only psychological appropriation; that is, a sense of ownership (McCracken, 1988), therefore investors can form attachment to financial securities (Baker & Nofsigner, 2002).  Attachment reduces one’s ability to make objective decisions, as investors tend to focus solely on the good traits and subsequently ignoring negative traits (Baker & Nofsigner, 2002). Furthermore, attachment results in an unwillingness to sell investments (Belk, 1991). This tendency results in investors holding investments too long (Baker & Nofsigner, 2002), potentially further exacerbating the disposition effect; particularly riding losers too long.

Material possession attachment occurs when a relationship is formed between an individual and a specific material object through psychological appropriation and person-object interaction (Kleine & Baker, 2004). Attachment is a matter of degree; stronger attachments are formed when objects are heterogeneous (Kleine & Baker, 2004) (Clayton, et al., 2009). As tangible assets are likely to be heterogeneous whereas financial assets are generally homogeneous (Baker & Nofsigner, 2002), it can therefore be derived that stronger attachments are formed with tangible investments. As mentioned previously attachment has negative implications for investors’ wealth. Therefore, the quantitative impact of the disposition effect of tangible assets would be expected to be greater than for financial assets.

3. Research Approach

In order to fill the literature gap on the effect of the disposition effect of tangible investments the following hypothesis is proposed:

The relative influence of the disposition effect is greater for tangible property investments than that of financial assets.

In this study, the research method used to evaluate the proposed hypothesis replicates the model used by Odean (1998). The model tests whether in fact there is general tendency to “sell winners early and to hold losers too long” (Statman & Shefrin 1985) by determining the “frequency with which [investors] sell winners and losers relative to their opportunities to sell” and, papers gains and losses are recorded in comparison to the purchase price (Odean 1998). The proportional method used by Odean (1998) allows for liquidity differences of different investments, namely securities, in comparison to property. As property is traded infrequently, an experimental design approach is used to gather sufficient data. Furthermore, the model is applicable to property, as only the capital gain/loss is considered which is consistent between securities and property; and the model ignores dividends that have different tax consequences.

The research method used by Odean (1998) is a robust model adapted from models previously used by Schlarbaum et al (1978) and Badrinath and Lewellen (1991). Application of the model to tangible investments, namely property, was propositioned by Odean (1998). Furthermore, adoption of Odean’s (1998) method also provides for comparison between financial markets and property markets. There is potential for further empirical research on other tangible investments such as antiques and collectables.

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