Kaustia, Markku - In: Journal of Financial and Quantitative Analysis 45 (2010) 03, pp. 791-812
This paper shows that prospect theory is unlikely to explain the disposition effect. Prospect theory predicts that the propensity to sell a stock declines as its price moves away from the purchase price in either direction. Trading data, on the other hand, show that the propensity to sell jumps...
