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.
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.
Author
L. Mazzucchelli & M. Zanotti