Abstract
Using quantile regression and measures of financial risk, we investigate the presence of loss aversion or house-money effects in trader's behavior. Analysis of individual futures and options trading records demonstrates a high level of heterogeneity in behavior. The level of portfolio risk carried influences how traders respond to prior profits. Responses tend to become large and significant mainly at below-average and above-average levels of risk. Traders also exhibit different responses depending on whether they face price or volatility risk. The findings are consistent with studies arguing that behavior varies in different situations, and highlights the importance of studying the full range of outcomes and activities to understand behavior
| Original language | English (US) |
|---|---|
| Title of host publication | Handbook on Psychology of Decision-Making |
| Subtitle of host publication | New Research |
| Publisher | Nova Science Publishers, Inc. |
| Pages | 215-233 |
| Number of pages | 19 |
| ISBN (Print) | 9781621005001 |
| State | Published - Oct 2012 |
ASJC Scopus subject areas
- General Medicine
- General Psychology