We perform a market experiment to investigate how average transaction prices react to the arrival of new information. Following a positive shock in fundamental value, prices underreact strongly; following negative shocks we find evidence of a much less pronounced underreaction. After the shock,...

The disposition effect describes investors' common tendency of quitting a winning investment too soon and holding on to losing investments too long. Since Shefrin and Statman (1985), the two sides of the disposition effect, i.e. quot;selling winnersquot; and quot;holding losersquot;, have been...

We analyze two recently documented follow-on purchase and repurchase patterns experimentally: Individual investors' preference for purchasing additional shares of a stock that decreased rather than increased in value succeeding an initial purchase (pattern 1) and investors' tendency for...

In this study, we analyze whether volatility forecasts (judgmental confidence intervals) are influenced by the specific elicitation mode (i.e. whether forecasters have to state future price levels or directly future returns as upper and lower bounds). We present questionnaire responses of about...