IDEAS home Printed from https://ideas.repec.org/a/eee/finmar/v7y2004i2p207-235.html
   My bibliography  Save this article

Market-wide impact of the disposition effect: evidence from IPO trading volume

Author

Listed:
  • Kaustia, Markku

Abstract

No abstract is available for this item.

Suggested Citation

  • Kaustia, Markku, 2004. "Market-wide impact of the disposition effect: evidence from IPO trading volume," Journal of Financial Markets, Elsevier, vol. 7(2), pages 207-235, February.
    • Handle: RePEc:eee:finmar:v:7:y:2004:i:2:p:207-235
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1386-4181(03)00043-0
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Chip Heath & Steven Huddart & Mark Lang, 1999. "Psychological Factors and Stock Option Exercise," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(2), pages 601-627.
    2. repec:bla:jfinan:v:53:y:1998:i:5:p:1759-1773 is not listed on IDEAS
    3. Bruno Jullien & Bernard Salanie, 2000. "Estimating Preferences under Risk: The Case of Racetrack Bettors," Journal of Political Economy, University of Chicago Press, vol. 108(3), pages 503-530, June.
    4. Mark Grinblatt & Matti Keloharju, 2001. "What Makes Investors Trade?," Journal of Finance, American Finance Association, vol. 56(2), pages 589-616, April.
    5. Bing NMI1 Han & Mark Grinblatt, 2001. "The Disposition Effect and Momentum," Yale School of Management Working Papers ysm239, Yale School of Management.
    6. Nicholas Barberis & Ming Huang, 2001. "Mental Accounting, Loss Aversion, and Individual Stock Returns," Journal of Finance, American Finance Association, vol. 56(4), pages 1247-1292, August.
    7. Shefrin, Hersh & Statman, Meir, 1985. "The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-790, July.
    8. Hiemstra, Craig & Jones, Jonathan D, 1994. "Testing for Linear and Nonlinear Granger Causality in the Stock Price-Volume Relation," Journal of Finance, American Finance Association, vol. 49(5), pages 1639-1664, December.
    9. Loughran, Tim & Ritter, Jay R., 2000. "Uniformly least powerful tests of market efficiency," Journal of Financial Economics, Elsevier, vol. 55(3), pages 361-389, March.
    10. Hsuan‐Chi Chen & Jay R. Ritter, 2000. "The Seven Percent Solution," Journal of Finance, American Finance Association, vol. 55(3), pages 1105-1131, June.
    11. Katrina Ellis & Roni Michaely & Maureen O'Hara, 2000. "When the Underwriter Is the Market Maker: An Examination of Trading in the IPO Aftermarket," Journal of Finance, American Finance Association, vol. 55(3), pages 1039-1074, June.
    12. David Genesove & Christopher Mayer, 2001. "Loss Aversion and Seller Behavior: Evidence from the Housing Market," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(4), pages 1233-1260.
    13. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    14. Shapira, Zur & Venezia, Itzhak, 2001. "Patterns of behavior of professionally managed and independent investors," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1573-1587, August.
    15. Nicholas Barberis & Ming Huang, 2001. "Mental Accounting, Loss Aversion, and Individual Stock Returns," NBER Working Papers 8190, National Bureau of Economic Research, Inc.
    16. Weber, Martin & Camerer, Colin F., 1998. "The disposition effect in securities trading: an experimental analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 167-184, January.
    17. Tkac, Paula A., 1999. "A Trading Volume Benchmark: Theory and Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(1), pages 89-114, March.
    18. repec:bla:jfinan:v:53:y:1998:i:5:p:1775-1798 is not listed on IDEAS
    19. Tarun Chordia & Bhaskaran Swaminathan, 2000. "Trading Volume and Cross‐Autocorrelations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(2), pages 913-935, April.
    20. Ruud, Judith S., 1993. "Underwriter price support and the IPO underpricing puzzle," Journal of Financial Economics, Elsevier, vol. 34(2), pages 135-151, October.
    21. Shlomo Benartzi & Richard H. Thaler, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 110(1), pages 73-92.
    22. Allen M. Poteshman & Vitaly Serbin, 2003. "Clearly Irrational Financial Market Behavior: Evidence from the Early Exercise of Exchange Traded Stock Options," Journal of Finance, American Finance Association, vol. 58(1), pages 37-70, February.
    23. repec:bla:jfinan:v:43:y:1988:i:3:p:677-97 is not listed on IDEAS
    24. repec:bla:jfinan:v:53:y:1998:i:5:p:1799-1819 is not listed on IDEAS
    25. Hanley, Kathleen Weiss & Kumar, A. Arun & Seguin, Paul J., 1993. "Price stabilization in the market for new issues," Journal of Financial Economics, Elsevier, vol. 34(2), pages 177-197, October.
    26. Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory and Asset Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(1), pages 1-53.
    27. Reena Aggarwal, 2000. "Stabilization Activities by Underwriters after Initial Public Offerings," Journal of Finance, American Finance Association, vol. 55(3), pages 1075-1103, June.
    28. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 199-242.
    29. Bamber, Linda Smith & Barron, Orie E. & Stober, Thomas L., 1999. "Differential Interpretations and Trading Volume," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(3), pages 369-386, September.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jakusch, Sven Thorsten, 2017. "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series 148, Leibniz Institute for Financial Research SAFE, revised 2017.
    2. Kyle, Albert S. & Ou-Yang, Hui & Xiong, Wei, 2006. "Prospect theory and liquidation decisions," Journal of Economic Theory, Elsevier, vol. 129(1), pages 273-288, July.
    3. Li, Yan & Yang, Liyan, 2013. "Prospect theory, the disposition effect, and asset prices," Journal of Financial Economics, Elsevier, vol. 107(3), pages 715-739.
    4. Vicky Henderson, 2012. "Prospect Theory, Liquidation, and the Disposition Effect," Management Science, INFORMS, vol. 58(2), pages 445-460, February.
    5. Barberis, Nicholas & Xiong, Wei, 2012. "Realization utility," Journal of Financial Economics, Elsevier, vol. 104(2), pages 251-271.
    6. Grinblatt, Mark & Han, Bing, 2001. "The Disposition Effect and Momentum," University of California at Los Angeles, Anderson Graduate School of Management qt6qg5d62p, Anderson Graduate School of Management, UCLA.
    7. Lin, Mei-Chen & Chou, Pin-Huang, 2011. "Prospect theory and the effectiveness of price limits," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 330-349, June.
    8. Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019. "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Leibniz Institute for Financial Research SAFE, revised 2019.
    9. Weber, Martin & Mueller-Dethard, Jan, 2020. "The Portfolio Composition Effect," CEPR Discussion Papers 15012, C.E.P.R. Discussion Papers.
    10. Oliver Chan & Alfred Ka Chun Ma, 2016. "Stochastic cost flow system for stock markets with an application in behavioral finance," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(04), pages 1-32, December.
    11. Grinblatt, Mark & Han, Bing, 2005. "Prospect theory, mental accounting, and momentum," Journal of Financial Economics, Elsevier, vol. 78(2), pages 311-339, November.
    12. Agapova, Anna & Kaprielyan, Margarita, 2020. "Stock volatility and trading," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    13. Hincapié-Salazar, Juliana & Agudelo, Diego A., 2020. "Is the disposition effect in bonds as strong as in stocks? Evidence from an emerging market," Global Finance Journal, Elsevier, vol. 46(C).
    14. von Beschwitz, Bastian & Massa, Massimo, 2020. "Biased short: Short sellers' disposition effect and limits to arbitrage," Journal of Financial Markets, Elsevier, vol. 49(C).
    15. Locke, Peter R. & Mann, Steven C., 2005. "Professional trader discipline and trade disposition," Journal of Financial Economics, Elsevier, vol. 76(2), pages 401-444, May.
    16. Mirjam Lehenkari & Jukka Perttunen, 2010. "Holding on to the Losers: Finnish Evidence," Chapters, in: Brian Bruce (ed.), Handbook of Behavioral Finance, chapter 17, Edward Elgar Publishing.
    17. Li An & Huijun Wang & Jian Wang & Jianfeng Yu, 2020. "Lottery-Related Anomalies: The Role of Reference-Dependent Preferences," Management Science, INFORMS, vol. 66(1), pages 473-501, January.
    18. Massa, Massimo & von Beschwitz, Bastian, 2015. "Biased Shorts: Stock Market Implications of Short Sellers? Disposition Effect," CEPR Discussion Papers 10535, C.E.P.R. Discussion Papers.
    19. Arkes, Hal R. & Hirshleifer, David & Jiang, Danling & Lim, Sonya, 2008. "Reference point adaptation: Tests in the domain of security trading," Organizational Behavior and Human Decision Processes, Elsevier, vol. 105(1), pages 67-81, January.
    20. Massimo Massa & Bastian von Beschwitz, 2015. "Biased Shorts: Short sellers’ Disposition Effect and Limits to Arbitrage," International Finance Discussion Papers 1147, Board of Governors of the Federal Reserve System (U.S.).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finmar:v:7:y:2004:i:2:p:207-235. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/finmar .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.