求文献一篇

【作者(必填)】Vicky Henderson

【文题(必填)】Prospect Theory, Liquidation, and the Disposition Effect

【年份(必填)】2012

【全文链接或数据库名称(选填)】http://mansci.journal.informs.org/content/58/2/445

MANAGEMENT SCIENCE
Vol. 58, No. 2, February 2012, pp. 445–460
ISSN 0025-1909 (print) — ISSN 1526-5501 (online)

正式发表的，非preprint

作者:Henderson, Vicky1 vicky.henderson@oxford-man.ox.ac.uk.
来源:Management Science; Feb2012, Vol. 58 Issue 2, p445-460, 16p, 4 Graphs.
文献类型:Article.
主题语:*LIQUIDATION
*CORPORATE divestiture
*BEHAVIORAL economics
*UTILITY functions
*BUSINESS mathematics
PROSPECT theory
OPTIMAL stopping (Mathematical statistics)
UNCERTAINTY.
摘要:There is a well-known intuition linking prospect theory with the disposition effect, the tendency of investors to sell assets that have risen in value rather than fallen. Recently, several authors have studied rigorous models in an attempt to formalize the intuition. However, some have found it difficult to predict a disposition effect while others produce a more extreme prediction where investors never voluntarily sell at a loss. We solve a model of asset liquidation where investors realize utility over gains and losses, and utility is concave over gains and convex over losses. Under the preferences of Tversky and Kahneman (Tversky, A., D. Kahneman.1992. Advances in prospect theory: Cumulative representation of uncertainty. J. Risk Uncertainty 5(4) 297-323)and lognormal asset prices, investors exhibit a disposition effect as gains are realized at a greater rate than losses. Nonetheless, in contrast to the extant literature, we find that the investor will "give up" and sell at a loss when the asset has a sufficiently low Sharpe ratio. [ABSTRACT FROM AUTHOR].
Copyright of Management Science is the property of INFORMS: Institute for Operations Research and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.).
作者单位:1Oxford-Man Institute, University of Oxford, Oxford OX2 6ED, United Kingdom.
ISSN:00251909.
DOI:10.1287/mnsc.1110.1468.
入藏编号:73779996.
数据库: Business Source Premier.

可惜没找到原文~~~

文献年份是 2011.7
下载来源是： http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1343761

就是这个了吧

EFA 2009 Bergen Meetings Paper

翻嘴黑贝 发表于 2012-6-10 11:09
MANAGEMENT SCIENCE
Vol. 58, No. 2, February 2012, pp. 445–460
ISSN 0025-1909 (print) — ISSN  ...

非常感谢！！

尚晓笑 发表于 2012-6-10 11:17
文献年份是 2011.7
下载来源是： http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1343761

非常感谢！！！！！！！