Borsa İstanbul'da çoklu referans noktaları boyunca eğilim ve ters eğilim etkilerinin birlikte varolması

Disposition effect is the propensity to sell winners earlier and hold losers longer while reverse disposition effect is the opposite. Using transaction data from Borsa Istanbul, coexistence of disposition effect and reverse disposition effect is tested with respect to three reference points: Cost, maximum and minimum prices. The overhang levels are discretized using a method introduced here as MUHBOD, varying the cutting points across the levels of other discretized variables. Extended Cox model is the main method, supported by Kaplan-Meier survival curves and an enhanced version of Odean's measure. Coefficients and measures derived from these models are tested for univariate monotonicity using Kendall's Tau and for multivariate monotonicity using Bayesian regression models with monotonic effects. The results suggest that investors exhibit disposition effect with respect to cost reference and reverse disposition effect with respect to maximum and minimum references, simultaneously. Furthermore, these effects also interact with each other: As prices are perceived to be closer to the minimum and/or maximum references, the strength of disposition effect diminishes. The findings can be explained by the affect account theory. Within the anticipated feelings dimension, investors feel elation in gains and disappointment in losses with respect to the cost reference. Within the anticipatory feelings dimension, investors feel the fear of losing more when prices are closer down to the minimum references, and they feel the hope of earning more when prices are closer up to the maximum reference.