Disposition Effect — disposition_effect • dispositionEffect

Compute the disposition effect and the disposition difference.

disposition_effect(realized_gains, paper_gains, realized_losses, paper_losses)

disposition_difference(gains, losses)

disposition_compute(
  gainslosses,
  dispdiff_value = FALSE,
  aggregate_fun = NULL,
  ...
)

disposition_compute_ts(gainslosses, aggregate_fun = NULL, ...)

disposition_summary(gainslosses, dispdiff_value = FALSE)

disposition_summary_ts(de_timeseries)

Arguments

realized_gains: Numeric vector (or scalar) containing realized gains values.
paper_gains: Numeric vector (or scalar) containing paper gains values.
realized_losses: Numeric vector (or scalar) containing realized losses values.
paper_losses: Numeric vector (or scalar) containing paper losses values.
gains: Numeric vector (or scalar) containing gains.
losses: Numeric vector (or scalar) containing losses.
gainslosses: Data frame, the portfolio of the investor containing the realized and paper gains and losses results (as those obtained via portfolio_compute).
dispdiff_value: Logical, if TRUE the disposition difference on the "value" method is computed. Default to disposition effect (FALSE).
aggregate_fun: Function to use to aggregate results. Default to NULL, that is no aggregation is performed and the results of each asset are shown.
...: Further arguments to be passed to the aggregate function.
de_timeseries: Data frame, the time series of disposition effects.

Value

Numeric vector (or scalar) with the value(s) of disposition effect(s) or disposition difference(s).

Details

The disposition effect is defined as \(DE = (Realized Gain / (Realized Gain - Paper Gain)) - (Realized Loss / (Realized Loss + Paper Loss))\)

The disposition difference is defined as \(DD = Realized Gain - |Realized Loss|\) or \(DD = Paper Gain - |Paper Loss|\)

Functions

disposition_effect: Compute the disposition effect
disposition_difference: Compute the disposition difference
disposition_compute: Compute the disposition effect directly on the investor's portfolio containing realized and paper gains and losses results.
disposition_compute_ts: Compute the time series disposition effect on the gains and losses results.
disposition_summary: Wrapper that returns the most important summary statistics related to the disposition effect.
disposition_summary_ts: Wrapper that returns the most important summary statistics related to the time series disposition effect.