Answered step by step
Verified Expert Solution
Link Copied!

Question

1 Approved Answer

Disposition effect. The term disposition effect refers to investors' inclination to realize gains more quickly than losses. The first objective of this project will be

Disposition effect. The term disposition effect refers to investors' inclination to realize gains more quickly than losses. The first objective of this project will be to implement the algorithms and reproduce the results of the following paper: A. Frazzini. The Disposition Effect and Underreaction to News. The Journal of Finance, 61(4):2017-2046, August 2006. The essential idea of the trading strategy constructed in this paper is to buy (sell) a stock in response to positive (respectively, negative) news if most shareholders face a capital gain (respectively, loss). Data on mutual fund holdings is used to estimate the capital gains or losses faced by most shareholders. The second objective of the project will be to extend the paper's results to include the market data until the end of 2009. (Thanks for your help )

Step by Step Solution

There are 3 Steps involved in it

Step: 1

blur-text-image

Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image

Step: 3

blur-text-image

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Finance For Housing An Introduction

Authors: Cathy Davis

1st Edition

1447306481, 978-1447306481

More Books

Students also viewed these Finance questions

Question

14. What are the functions of the prefrontal cortexpg109

Answered: 1 week ago