| Summary: | 碩士 === 元智大學 === 企業管理學系 === 95 === While the traditional models in economics assume that investors are rational utility maximizers, an investor’s real action usually deviates from what is predicted by the theory in question. One of the behavioral patterns arising from this line is the disposition effect, the propensity of traders to hold losing investments too long and to sell winning investments too early. And the fundamental of the disposition effect is the value function proposed by the prospect theory. Although most empirical studies have reported a significant disposition effect, a conclusive test of this effect has yet to be conducted because the documented significance might be explained by a competing hypothesis or by confounding effects. Thus, we use the tools of the agent-based model, to explore how the value function affects market behavior (disposition effect). In particular, we allow agents with different investment strategies to interact and to compete with each other in an artificial futures market. We found that the S-shape value curve may be the major cause of the observed behavior of the disposition effect. And the disposition effect will affect the profit of that trader.
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