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	Provedor de dados 31 (2) Autor Garcia, Philip (2) Mattos, Fabio (2) Pennings, Joost M.E. (1) Palavra-chave Agricultural Finance (2) Futures (2) House-money effect (2) Loss aversion (2) Options (2) Agribusiness (1) Consumer/Household Economics (1) Demand and Price Analysis (1) Farm Management (1) Financial Economics (1) Marketing (1) Quantile regression (1) Research Methods/ Statistical Methods (1) Risk and Uncertainty (1) Mais... Tipo do documento Conference Paper or Presentation (2) Ano 2009 (1) 2008 (1) País United States (2) Idioma Inglês (2)		Ordenar por:  Relevância Autor Título Ano Registros recuperados: 2 Primeira ... 1 ... Última The Effect of Prior Gains and Losses on Current Risk-Taking Using Quantile Regression 31 Mattos, Fabio; Garcia, Philip. This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets using a quantile regression framework. Analysis of trading records of 12 traders suggests that there is great heterogeneity in individual trading behavior. Traders respond differently to prior profits depending on how much risk their portfolios are carrying. In general, no significant response is found at average and below-average levels of risk, but response can become large and significant at above-average levels of risk. These results are consistent with studies which argued that behavior may be uneven under different circumstances, and calls into question the adoption of conditional mean framework to investigate trading behavior. Focusing the... Tipo: Conference Paper or Presentation Palavras-chave: Loss aversion; House-money effect; Quantile regression; Futures; Options; Agribusiness; Agricultural Finance; Consumer/Household Economics; Demand and Price Analysis; Farm Management; Financial Economics; Marketing; Research Methods/ Statistical Methods; Risk and Uncertainty. Ano: 2009 URL: http://purl.umn.edu/53035 Dynamic Decision Making in Agricultural Futures and Options Markets 31 Mattos, Fabio; Garcia, Philip; Pennings, Joost M.E.. This paper investigates the dynamics of sequential decision-making in agricultural futures and options markets. Analysis of trading records of 12 traders identified considerable heterogeneity in individual dynamic trading behavior. Using risk measures derived from the deltas and vegas of trader’s portfolios, we find nearly half the traders behavior is consistent with a house-money effect and the other half with loss aversion. These findings correspond closely to expected behavior inferred from elicited utility and probability weighting functions. The results call into question more aggregate findings that discount probability weighting to develop risk measures which support the notion of more uniform, less heterogeneous, behavior. Understanding behavior in... Tipo: Conference Paper or Presentation Palavras-chave: Loss aversion; House-money effect; Futures; Options; Agricultural Finance. Ano: 2008 URL: http://purl.umn.edu/37605 Registros recuperados: 2 Primeira ... 1 ... Última

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