74

The purpose of this article is to study the influence of the disposition effect on the dynamics of asset prices based on two complementary behavioral theories: prospect theory and mental accounting. The main contribution of our paper consists of a simulation of 12 laboratory markets in which the interactions between participants take place through a computer network. We consider an experimental framework to study the behavior of subjects in a controlled environment. Our experimental protocol consists of two treatments (T1 and T2) with six sessions each. These two treatments differ according to the level of information disclosed to the subjects. As such, we validate the presence of a “reversed disposition effect” that investors who hold securities that incorporate good news will tend to keep them, while those who are losing stocks prefer to sell them.