【本期主题】Can Prospect Theory Explain the Disposition Effect?

There has been recent debate about whether prospect theory can explain the dispositioneffect. Using both theory and simulation, this paper shows that prospect theory often pre-dicts the disposition effect when lagged expected final wealth is the reference point under theprinciple of preferred personal equilibrium, regardless of whether the reference point is up-dated or not. When initial wealth is the reference point, however, there is often no dispositioneffect. Models that use a reference point with no lag under the principle of preferred per-sonal equilibrium or that determine the reference point using the principle of disappointmentaversion cannot explain why the investor bought a stock in the first place. Reference pointadjustment weakens the disposition effect, leads to more aggressive initial stock purchasestrategies and predicts history-dependence in stock holding.

【报告人】 孟涓涓 北京大学光华管理学院副教授

【时 间】11月18日 上午10:00

【地 点】明德主楼0509室

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报告人简介：

孟涓涓，美国加州大学获得经济学博士，现任北京大学光华管理学院应用经济系和金融系副教授。目前的研究专长包括行为经济学，行为金融学，劳动经济学，发展经济学等。她的研究成果发表在国外顶级学术期刊上，如American Economic Review, Journal of Public Economics, International Economic Review, Journal of Development Economics, Games and Economic Theory, Journal of Economic Behavior and Organization, Journal of Behavioral and Experimental Economics.她目前主持国家自然科学基金面上项目“参照点和狭隘视野：行为经济学前沿问题探究” 和北京青年英才计划”依赖人际关系还是正式渠道—论正式与非正式制度安排对社会经济发展的影响”项目研究。曾经主持国家自然科学基金青年基金研究项目 “个体经济行为中的社会性因素”（已结题）。曾获光华管理学院最佳新人奖，2007-2008 Excellence in Referee Rewards, The American Economics Review,2001-2004北大明德奖学金等。

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