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| Tekijä: | Frino, A. Johnstone, D. Zheng, H. |
| Otsikko: | The propensity for local traders in futures markets to ride losses: Evidence of irrational or rational behavior? |
| Lehti: | Journal of Banking and Finance
2004 : FEB, VOL. 28:2, p. 353-372 |
| Asiasana: | Finance Futures markets Trading |
| Kieli: | eng |
| Tiivistelmä: | Behavioral studies of individual traders' decisions indicate that the "disposition effect", that is, the propensity of traders to ride losses yet realize gains, is motivated by psychological rather than rational economic considerations. Consistent with previous studies, this paper finds evidence of a disposition effect for both on-floor professional futures traders ("locals") and a matched sample of non-local traders. Comparisons reveal a stronger disposition effect among locals than non-local traders. Given that locals must trade profitably to survive, it is improbable that they are more irrational in their loss riding than non-locals. To the contrary, evidence is provided that paper losses for local traders are more likely than for non-locals to become either realized or paper gains by the time of the next transaction. This result is consistent with the hypothesis. |
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