Institutional Investors, Past Performance, and Dynamic Loss Aversion

Using a proprietary database of currency trades, this paper explores the effects of trading gains and losses on risk-taking among large institutional investors. We find that institutional investors, unlike individuals, are not prone to the disposition effect. Instead, institutions aggressively reduc...

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Veröffentlicht in:	Journal of financial and quantitative analysis 2009-02, Vol.44 (1), p.155-188
Hauptverfasser:	O’Connell, Paul G. J., Teo, Melvyn
Format:	Artikel
Sprache:	eng
Schlagworte:	Certificates of deposit Coefficients Currency Currency market Foreign exchange Fund management Institutional investments Institutions Investment analysis Investment risk Investors Loss aversion Past performance Prices Quantitative analysis Realized gains Risk reduction Risk taking Statistical significance Trade
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