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Digital
Library of the European Council for Modelling and Simulation |
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Title: |
Mental
Framing In Risk-Aversion Dynamics An Empirical Investigation Of Intertemporal Choice |
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Authors: |
Mihaly
Ormos, Dusan Timotity |
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Published in:
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(2016).ECMS 2016 Proceedings edited
by: Thorsen Claus, Frank Herrmann, Michael Manitz, Oliver Rose, European Council for Modeling and
Simulation. doi:10.7148/2016 ISBN:
978-0-9932440-2-5 30th
European Conference on Modelling and Simulation, Regensburg Germany, May 31st
– June 3rd, 2016 |
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Citation
format: |
Mihaly
Ormos, Dusan Timotity (2016). Mental Framing In Risk-Aversion Dynamics
An Empirical Investigation Of Intertemporal Choice,
ECMS 2016 Proceedings edited by: Thorsten Claus, Frank Herrmann, Michael Manitz, Oliver Rose European
Council for Modeling and Simulation. doi:10.7148/2016-0179 |
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DOI: |
http://dx.doi.org/10.7148/2016-0179 |
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Abstract: |
This paper provides an empirical
investigation of the mental framing based explanation for heteroscedasticity
by Ormos and Timotity. We
find empirical support for their model from two different point of view:
first, the analysis of a huge individual trading dataset shows that investors
indeed become risk-seeking right after losses and more risk-averse subsequent
to gains: second, the parameter estimation of our volatility model yields the
predicted negative relationship between abnormal returns and subsequent
volatility. |
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text: |
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