dispositionEffect-package {dispositionEffect}

dispositionEffect: behavioral Analysis on Financial Data

Description

The dispositionEffect package allows to perform different types of behavioral analysis using financial market and experimental data. The analysis of disposition effect, portfolio-driven disposition effect, and time series disposition effect can be performed with four different implemented methods.

Main functions

• portfolio_compute is a wrapper function that compute realized and paper gains and losses from the investor's transactions and the market prices of the traded assets and updates the investor's portfolio

• gains_losses is the core function of the package. It performs all the necessary calculations and can be used for real-time processing (it is intended for advanced users only)

• disposition_effect Compute the disposition effect based on realized and paper gains and losses

• disposition_difference Compute the disposition difference based on realized gains and losses

• disposition_computeand disposition_summaryinterfaces that allow to easily compute disposition effect and summary statistics.

Author(s)

L. Mazzucchelli & M. Zanotti

References

• An, Li and Engelberg, Joseph and Henriksson, Matthew and Wang, Baolian and Williams, Jared, 2019, "The Portfolio-Driven Disposition Effect".

• Filippin, Mazzucchelli and Zanotti, 2021, "An analysis of the short selling impact on the disposition effect extended in the portfolio framework" (working paper).

• Mazzucchelli, 2021, "An Analysis of Short Selling and Volatility Impact on the Disposition Effect" (working paper).

• Odean, Terrance, 1998, "Are investors reluctant to realize their losses?" Journal of Finance 53:5, 1775-98.

• Sakaguchi, Hiroaki and Stewart, Neil and Walasek, Lukasz, 2019, "The Disposition Effect Varies with Portfolio Composition Because People Take Gain-Loss-Domain-Level Sell Decisions".

• Shefrin, Hersh, and Meir Statman, 1985, "The disposition to sell winners too early and ride losers too long", Journal of Finance 40:3, 777-90.

• Weber, Martin, and Colin F. Camerer, 1998, "The disposition effect in securities trading: An experimental analysis", Journal of Economic Behavior and Organization 33:2, 167-84.