This experimental study of an artificial stock market investigates what explains the propensity to sell stocks and thus the disposition effect. It is a framed field experiment that follows the steps ...of a previous observational study of investor behavior in the Finnish stock market. Our experimental approach has an edge over the observational study in that it can control extraneous variables and two or more groups can be compared. We consider in particular the groups of amateur students and professional investors because it is well established in the literature that the disposition effect is less pronounced in professionals. The disposition effect was measured by both the traditional metric and a broader one that properly considers return intervals. A full logit model with control variables was employed in the latter case. As a result, we replicate for the broader definition what already has been found for the traditional measure: that investor experience dampens the disposition effect. Trades with positive returns exhibited higher propensity to sell than trades with negative returns. For the overall sample of participants, we find the disposition effect cannot be explained by prospect theory, but we cast doubt on this stance from partitions of data from amateurs and professionals.
This article reports a laboratory experiment comparing the behavior of individuals and groups in terms of their susceptibility to the disposition effect. A total of 174 students took part in six ...experimental sessions in which they made decisions individually, in pairs, or in three-person groups. It was observed that the disposition effect was attenuated when the decisions were made in groups of two or three members. It was also noted that the attenuating effect of group decision making was the result of a reduction in the proportion of gains realized, indicating that the groups were less risk averse than individuals.
RESUMO Muitos agentes atuantes nas bolsas de valores são relutantes em realizar perdas e têm maior facilidade em realizar ganhos, comportamento chamado de “efeito disposição”. Tais agentes podem ser ...individuais ou institucionais, esses últimos considerados mais racionais em suas tomadas de decisão. Assim, este artigo buscou analisar se existem diferenças quanto à presença do efeito disposição na tomada de decisões financeiras entre investidores individuais e institucionais. A amostra compreendeu transações realizadas por investidores individuais e institucionais, entre janeiro de 2012 e 31 de outubro de 2014, com dados reais de três ações obtidos na bolsa de valores brasileira, sendo aplicada uma metodologia específica para detectar o efeito disposição. Resultados mostraram que o efeito disposição está presente em todas as análises para os investidores individuais e em apenas algumas análises para os investidores institucionais, sendo mais forte para os investidores individuais. Isto indica que os investidores individuais são mais enviesados pelo efeito disposição do que os investidores institucionais. Ademais, a média dos retornos das aplicações dos investidores institucionais foi maior do que as realizadas por investidores individuais, mostrando que os investidores institucionais alcançam melhores retornos em suas aplicações.
RESUMEN Muchos de los agentes que operan en bolsas de valores son reacios a generar pérdidas y les resulta más fácil obtener ganancias, comportamiento llamado "efecto de disposición". Dichos agentes pueden ser individuales o institucionales, estos últimos considerados más racionales en su toma de decisiones. Así, este artículo buscaba analizar si existen diferencias con respecto a la presencia del efecto de disposición en la toma de decisiones financieras entre inversores individuales e institucionales. La muestra comprendió transacciones realizadas por inversores individuales e institucionales, entre enero 2012 y 31 octubre 2014, con datos reales de tres acciones obtenidas en la bolsa de valores Brasileña, utilizando una metodología específica para detectar el efecto de disposición. Los resultados mostraron que el efecto de disposición está presente en todos los análisis para inversionistas individuales y solo en unos pocos análisis para inversionistas institucionales, siendo más fuerte para inversionistas individuales. Esto indica que los inversores individuales están más predispuestos por el efecto de disposición, mientras que los inversores institucionales están menos predispuestos. Además, los rendimientos medios de las inversiones de los inversores institucionales fueron más altos que los obtenidos por los inversores individuales, lo que demuestra que los inversores institucionales obtienen mejores rendimientos de sus inversiones.
ABSTRACT Many of the agents trading in stock exchanges are reluctant in realizing losses, and find it easier to make gains, a behavior called “disposition effect”. Those agents can be individual or institutional, the latter being considered more rational in their decision-making. Thus, this paper aimed to analyze whether there are differences regarding the presence of the disposition effect in the financial decision-making between individual and institutional investors. The sample comprised transactions carried out by individual and institutional investors, from January 2012 to October 31, 2014, with real data from three assets obtained in the Brazilian stock exchange, using a specific methodology to detect the disposition effect. Results showed that the disposition effect is present in all analyses for individual investors and in only a few analyses for institutional investors, being stronger for individual investors. This indicates that individual investors are more biased by the disposition effect, while institutional investors are less biased. Furthermore, the average returns on institutional investors' investments were higher than those obtained by individual investors, showing that institutional investors achieve better returns on their investments.
Este artigo utiliza uma base de dados única, que contempla dados reais de operações de todos os investidores do mercado de ações brasileiro. Foram analisadas mais de 60 milhões de operações de compra ...e venda de mais de 500 mil investidores. Os resultados apontam que os investidores pessoa física (os que possuem maior quantidade de operações em todo o mercado) estão entre os tipos de investidores mais propícios à presença do efeito disposição. Além disso, os mesmos investidores pessoa física estão entre aqueles com menores retornos médios em suas transações. Investidores institucionais, por sua vez, apresentaram um comportamento não condizente com o efeito disposição e maiores retornos médios em suas operações de venda.
We experimentally assess the disposition effect and return performance, using electroencephalogram to measure the brain activity of the participants. The design of the experiment follows a previous ...protocol (Frydman et al., 2014). Our sample was made up of 12 undergraduates (all male, age range 18 to 29, mean age 22.2) and five professional stock traders (all male, age range 21 to 37, mean age 30.2). We further considered the total of purchases and sellings of each participant, which renders us with an enlarged sample of 164 observations. This alternative metric fits well for incorporating the neurophysiological variables. We find neural support for the finding that professionals are more likely to escape the disposition effect. We also find higher heart rate variability and brainwave activation are positively related to stock returns. Electrical activity tends to increase with returns, mainly for the beta waves that are activated in conscious states.
In the context of the financial management of an organization, there are behavioral patterns that can bias the decision-making process, making the financial manager unable to achieve his/her goal of ...maximizing value in activities related to financial decisions, particularly those related to investments. One of these biases is called status quo. According to Samuelson and Zeckhauser (1988), this bias indicates that individuals tend to maintain the current state of their portfolio and have difficulty in changing their financial position. This research examined whether there is a relationship between status quo bias, risk profile and quantitative skills in graduate students of economics, accounting, and management. For this purpose, a survey was conducted through questionnaires administered to 330 graduate students at the University of Porto (Portugal) and Federal University of Santa Catarina (Brazil). For the calculation and presentation of indicators that point to the presence of the status quo bias the methodology used was based on Samuelson and Zeckhauser (1988). In addition, a regression analysis was conducted to find a relationship between the risk profile of the participants and the status quo bias, including some control variables. The results showed that risk-seeker respondents seem to have been less affected by the status quo bias in their decisions, unlike the others. As for the participants who have studied behavioral finance in their undergraduate courses (a proxy for prior knowledge of the studied bias), it was found, on average, an increase of answers on alternatives to the status quo. However, the presence of the status quo bias was still dominant in the total responses. This shows that respondents who had studied behavioral finance opted for alternative options more than other respondents, but, even these individuals showed the status quo bias. Thus, we emphasize the importance of understanding the influence of behavioral biases in decision making, because these biases may impair important decisions within an organization. KEYWORDS Behavioral finance. Status quo bias. Risk aversion. Financial literacy. Endowment effect. No contexto da gestao financeira de uma organizacao, existem padroes comportamentais que podem enviesar o processo de tomada de decisoes, fazendo que o gestor financeiro nao consiga atingir seu objetivo de maximizacao de valor em atividades ligadas as decisoes financeiras, principalmente aquelas relacionadas a investimentos. Um desses vieses e denominado de status quo. De acordo com Samuelson e Zeckhauser (1988), esse vies indica que os individuos tendem a manter o estado atual de seu portfolio e tem dificuldades em mudar de posicao patrimonial. Esta pesquisa procura verificar se existe relacao entre o vies do status quo, o perfil de risco e a habilidade quantitativa, em estudantes de pos-graduacao em Economia, Contabilidade e Gestao. Para essa finalidade, realizou-se uma pesquisa com 330 estudantes de pos-graduacao da Universidade do Porto (Portugal) e da Universidade Federal de Santa Catarina (Brasil). Para o calculo e apresentacao dos indicadores que apontam para a presenca do status quo, a metodologia utilizada foi baseada em Samuelson e Zeckhauser (1988). Alem disso, realizaram-se analises de regressao para buscar uma relacao entre o perfil de risco dos participantes e o status quo, incluindo variaveis de controle. Os resultados mostraram que os respondentes propensos ao risco parecem nao ter sido afetados pelo vies do status quo em suas decisoes, diferentemente dos demais. Quanto aos participantes que estudaram financas comportamentais previamente nos cursos de licenciatura e/ou graduacao (uma proxy para o conhecimento previo do vies estudado), verificou-se, em media, um aumento de respostas nas opcoes alternativas ao status quo. No entanto, a presenca do vies ainda foi predominante no total de respostas obtidas. Isso mostra que os respondentes que haviam estudado financas comportamentais optaram mais por opcoes alternativas do que os outros, porem, mesmo esses individuos apresentaram o vies do status quo. Dessa forma, enfatiza-se a importancia de compreender a influencia de vieses comportamentais nas tomadas de decisoes, pois eles podem comprometer decisoes importantes dentro de uma organizacao. PALAVRAS-CHAVE Financas comportamentais.Vies do status quo. Aversao ao risco. Cultura financeira. Efeito dotacao. En el contexto de la gestion financiera de una organizacion, hay estandares de comportamiento que pueden sesgar el proceso de toma de decisiones, lo que lleva al gerente financiero a no lograr su objetivo de maximizar el valor de las actividades asociadas con las decisiones financieras, principalmente las relacionadas con inversiones. Uno de esos sesgos es denominado de status quo. Segun Samuelson y Zeckhauser (1988), este sesgo indica que los individuos tienden a mantener el estado actual de su portafolio y tienen dificultades para cambiar su situacion patrimonial. Esta investigacion pretende determinar si existe una relacion entre el sesgo del statu quo, el perfil de riesgo y habilidades cuantitativas en estudiantes de postgrado en Economia, Contabilidad y Gestion. Para este proposito, se realizo una encuesta a traves de cuestionarios aplicados a 330 estudiantes de postgrado de la Universidad de Porto (Portugal) y de la Universidad Federal de Santa Catarina (Brasil). Para el calculo y la presentacion de los indicadores, que apuntan la presencia del status quo, se utilizo la metodologia de Samuelson y Zeckhauser (1988). Ademas, se realizaron analisis de regresion para buscar una relacion entre el perfil de riesgo de los participantes y el status quo, incluyendo algunas variables de control. Los resultados mostraron que los encuestados con predisposicion al riesgo parecen no haber sido afectados por el sesgo del status quo en sus decisiones, a diferencia de los demas. En relacion a los alumnos que previamente estudiaron finanzas comportamentales en las materias de licenciatura y/o graduacion (un proxy para el conocimiento previo del sesgo estudiado) se observo, en promedio, un aumento de la respuesta a las opciones alternativas al status quo. Sin embargo, la presencia del sesgo de status quo era todavia predominante en el total de las respuestas obtenidas. Esto muestra que los encuestados que habian estudiado las finanzas comportamentales optaron mas por opciones alternativas que los otros encuestados, no obstante, incluso estos individuos presentaron el sesgo del statu quo. Por lo tanto, se enfatiza la importancia de comprender la influencia de los sesgos de comportamiento en la toma de decisiones, ya que estos sesgos pueden afectar decisiones importantes dentro de una organizacion. PALABRAS CLAVE Finanzas comportamentales. Sesgo del status quo. Aversion al riesgo. Cultura financiera. Efecto de dotacion.
In the context of the financial management of an organization, there are behavioral patterns that can bias the decision-making process, making the financial manager unable to achieve his/her goal of ...maximizing value in activities related to financial decisions, particularly those related to investments. One of these biases is called status quo. According to Samuelson and Zeckhauser (1988), this bias indicates that individuals tend to maintain the current state of their portfolio and have difficulty in changing their financial position. This research examined whether there is a relationship between status quo bias, risk profile and quantitative skills in graduate students of economics, accounting, and management. For this purpose, a survey was conducted through questionnaires administered to 330 graduate students at the University of Porto (Portugal) and Federal University of Santa Catarina (Brazil). For the calculation and presentation of indicators that point to the presence of the status quo bias the methodology used was based on Samuelson and Zeckhauser (1988). In addition, a regression analysis was conducted to find a relationship between the risk profile of the participants and the status quo bias, including some control variables. The results showed that risk-seeker respondents seem to have been less affected by the status quo bias in their decisions, unlike the others. As for the participants who have studied behavioral finance in their undergraduate courses (a proxy for prior knowledge of the studied bias), it was found, on average, an increase of answers on alternatives to the status quo. However, the presence of the status quo bias was still dominant in the total responses. This shows that respondents who had studied behavioral finance opted for alternative options more than other respondents, but, even these individuals showed the status quo bias. Thus, we emphasize the importance of understanding the influence of behavioral biases in decision making, because these biases may impair important decisions within an organization.
Finance literature has shown evidence of a positive relationship between trading volume and stock returns. This relationship can be explained by the concept of overconfidence within the behavioral ...finance literature, which postulates that when positive returns occur, investors tend to trade more often, driven by market overconfidence. This study analyzes how the relationship between return and volume (measured by turnover) based on the methodology of Statman et al. (2006) occurs. All stocks traded at BMFBovespa along the period January 1995 to December 2012 were included in the sample. The main result of this paper emphasizes the existence of a positive relationship between turnover and lagged return only for stocks with small market capitalization. An explanation for this results has been also explored and is related to the presence of institutional investors in small caps, thus corroborating de hypothesis that professional investors tend to be less biased towards overconfidence. Keywords: overconfidence; behavioral finance; turnover; return. A literatura de financas tem apresentado evidencias de uma relacao positiva entre o volume negociado e as variacoes nos precos das acoes. Esta relacao pode ser explicada pelo conceito de excesso de confianca, dentro das financas comportamentais, o qual postula que quando retornos positivos ocorrem, o investidor tende a realizar mais operacoes, movido pelo excesso de confianca presente no mercado. Este trabalho procurou analisar como ocorre a relacao entre retorno e volume (medido pelo turnover) baseado na metodologia de Statman et al. (2006). Foram analisadas todas as acoes negociadas na BMFBovespa para o periodo de janeiro de 1995 ate dezembro de 2012. O principal resultado deste artigo enfatiza a existencia de uma relacao positiva entre turnover e retornos defasados apenas para as acoes com baixo valor de mercado. Uma explicacao para este resultado tambem foi explorada e diz respeito a uma menor participacao de investidores institucionais nas acoes de baixo valor de mercado, corroborando a hipotese de que investidores profissionais tendem a ser menos viesados em relacao ao excesso de confianca Palavras-chave: excesso de confianca; financas comportamentais; turnover; retorno. Codigos JEL: G02; G10; G12.
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