Günter Strobl from the University of North Carolina, Chapel Hill, is giving
a VGSF research seminar on "Time-Varying Information Asymmetry and the
Disposition Effect" on FRIDAY, May 25th, from 15:30 to 17:00 in HS 7 at the
BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events
--> Research Seminars) for a map of the location, the paper to download
(soon) and this term's entire schedule of seminars.
Please find the paper's abstract below.
Best,
Michael Halling
Abstract
Economists have long been puzzled by the tendency of investors to sell
winning investments too soon and hold losing investments too long. Several
behavioral explanations for this phenomenon, known as the disposition
effect, have been advanced. This paper demonstrates that the disposition
effect is not intrinsically at odds with rational behavior. We present a
rational expectations model with asymmetrically informed investors and show
that, for some parameterizations, trading strategies as predicted by the
disposition effect are in fact an optimal response to dynamic changes in the
information structure. We provide conditions under which the disposition
effect holds and derive new empirical implications relating it to public
news releases, trading volume, and stock price dynamics.