Evaluation Periods and Asset Prices in a Market Experiment

U. Gneezy, A. Kapteyn, J.J.M. Potters

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Abstract

We test whether the frequency of feedback information about the performance of an investment portfolio and the flexibility with which the investor can change it influence her risk attitude in markets.In line with the prediction of Myopic Loss Aversion (Benartzi and Thaler, 1995), we find that more information and more flexibility result in less risk taking.Market prices of risky assets are significantly higher if feedback frequency and decision flexibility are reduced.This result supports the findings from individual decision making, and shows that markets do not eliminate such behavior.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages24
Volume2002-8
Publication statusPublished - 2002

Publication series

NameCentER Discussion Paper
Volume2002-8

Keywords

  • information
  • portfolio investment
  • performance
  • financial risk
  • asset valuation

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