大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,The University of Osaka

Retail Bubble Riders

Darya Yuferova (Norwegian School of Economics)

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大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第150回

Retail Bubble Riders

Darya Yuferova (Norwegian School of Economics)

We investigate the behavior of retail traders during repeated bubble episodes using detailed data from the Bombay Stock Exchange. We show that, after controlling for attrition, retail traders are more likely to participate in bubble stocks if they have prior bubble experience. Retail traders making extreme profits in the previous bubble episodes are less prone to engaging in future bubble riding. Moving from extreme profits to extreme losses in the previous bubble episodes monotonically increases the likelihood of future bubble participation. This pattern is consistent with the break-even effect observed in the context of prospect theory preferences.