Prospect Theory, the Disposition Effect, and Asset Prices

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Air pollution, behavioral bias, and the disposition effect in China (2019, background): “Although the causes and consequences of the disposition effect are still under debate (e.g., Barberis and Xiong, 2009, 2012; Ben-David and Hirshleifer, 2012; Henderson, 2012; Li and Yang, 2013; Frydman et al., 2014; An, 2016), the effect is typically viewed as among the”
Prospect Theory and Stock Market Anomalies (2020, methodology): “What is the intuition for these results? A mechanism that helps our model explain a majority of the anomalies in Table 1 is the one studied by Grinblatt and Han (2005) and Li and Yang (2013), namely, that a stock with a prior gain brings its investors into the concave region of the prospect theory v”
Psychology-based Models of Asset Prices and Trading Volume (2018, background): “Barberis and Huang (2001), Grinblatt and Han (2005), Li and Yang (2013), and Barberis et al. (2016) investigate the implications of narrow framing for asset prices; I come back to some of these papers in the next section.”