Fully Closed: Individual Responses to Paper Versus Realized Capital Gains and Losses

Steffen Meyer, Michaela Pagel

Publikation: Konferencebidrag uden forlag/tidsskriftPaperForskningpeer review

Resumé

We use transaction-level data of retail investor's portfolio trades and holdings linked to their checking, savings, and settlement account transactions and balances. We exploit exogenous sales due to mutual fund liquidations to estimate the marginal propensity to reinvest when the investor either achieved a gain or loss relative to his or her initial investment. Individuals reinvest 82% on average if the forced sale resulted in a gain, but only 41% in the event of a loss. We thus provide evidence for realization utility and effects and that individuals do not
appear to learn rationally from experiences in the stock market.
OriginalsprogEngelsk
Publikationsdato2018
StatusUdgivet - 2018
BegivenhedSFS Cavalcade North America 2018 - Yale School of Management, New Haven, USA
Varighed: 21. maj 201824. maj 2018
http://sfs.org/financecavalcades/2018-sfs-finance-cavalcade/

Konference

KonferenceSFS Cavalcade North America 2018
LokationYale School of Management
LandUSA
ByNew Haven
Periode21/05/201824/05/2018
Internetadresse

Fingeraftryk

Investors
Capital gains
Propensity
Liquidation
Stock market
Savings
Retail
Mutual funds

Citer dette

Meyer, S., & Pagel, M. (2018). Fully Closed: Individual Responses to Paper Versus Realized Capital Gains and Losses. Afhandling præsenteret på SFS Cavalcade North America 2018, New Haven, USA.
Meyer, Steffen ; Pagel, Michaela. / Fully Closed: Individual Responses to Paper Versus Realized Capital Gains and Losses. Afhandling præsenteret på SFS Cavalcade North America 2018, New Haven, USA.
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abstract = "We use transaction-level data of retail investor's portfolio trades and holdings linked to their checking, savings, and settlement account transactions and balances. We exploit exogenous sales due to mutual fund liquidations to estimate the marginal propensity to reinvest when the investor either achieved a gain or loss relative to his or her initial investment. Individuals reinvest 82{\%} on average if the forced sale resulted in a gain, but only 41{\%} in the event of a loss. We thus provide evidence for realization utility and effects and that individuals do notappear to learn rationally from experiences in the stock market.",
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author = "Steffen Meyer and Michaela Pagel",
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Meyer, S & Pagel, M 2018, 'Fully Closed: Individual Responses to Paper Versus Realized Capital Gains and Losses' Paper fremlagt ved SFS Cavalcade North America 2018, New Haven, USA, 21/05/2018 - 24/05/2018, .

Fully Closed: Individual Responses to Paper Versus Realized Capital Gains and Losses. / Meyer, Steffen; Pagel, Michaela.

2018. Afhandling præsenteret på SFS Cavalcade North America 2018, New Haven, USA.

Publikation: Konferencebidrag uden forlag/tidsskriftPaperForskningpeer review

TY - CONF

T1 - Fully Closed: Individual Responses to Paper Versus Realized Capital Gains and Losses

AU - Meyer, Steffen

AU - Pagel, Michaela

PY - 2018

Y1 - 2018

N2 - We use transaction-level data of retail investor's portfolio trades and holdings linked to their checking, savings, and settlement account transactions and balances. We exploit exogenous sales due to mutual fund liquidations to estimate the marginal propensity to reinvest when the investor either achieved a gain or loss relative to his or her initial investment. Individuals reinvest 82% on average if the forced sale resulted in a gain, but only 41% in the event of a loss. We thus provide evidence for realization utility and effects and that individuals do notappear to learn rationally from experiences in the stock market.

AB - We use transaction-level data of retail investor's portfolio trades and holdings linked to their checking, savings, and settlement account transactions and balances. We exploit exogenous sales due to mutual fund liquidations to estimate the marginal propensity to reinvest when the investor either achieved a gain or loss relative to his or her initial investment. Individuals reinvest 82% on average if the forced sale resulted in a gain, but only 41% in the event of a loss. We thus provide evidence for realization utility and effects and that individuals do notappear to learn rationally from experiences in the stock market.

KW - Asset allocation

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Meyer S, Pagel M. Fully Closed: Individual Responses to Paper Versus Realized Capital Gains and Losses. 2018. Afhandling præsenteret på SFS Cavalcade North America 2018, New Haven, USA.