Analysis of Disposition Effect on Financial Portfolios.
dispositionEffect
The dispositionEffect
package allows to quickly evaluate the presence of disposition effect’s behaviors of an investor based solely on his transactions and the market prices of the traded assets.
Installation
You can install the released version of dispositionEffect
from CRAN with:
install.packages("dispositionEffect")
Otherwise, you can also install the development version from GitHub with:
install.packages("devtools")
devtools::install_github("marcozanotti/dispositionEffect")
Overview
The package contains few user-friendly purpose specific interfaces:
portfolio_compute
is a wrapper function that compute realized and paper gains and losses from the investor’s transactions and the market prices of the traded assets and updates the investor’s portfoliogains_losses
is the core function of the package. It performs all the necessary calculations and can be used for real-time processing (it is intended for advanced users only)disposition_effect
computes the disposition effectdisposition_difference
computes the disposition differencedisposition_compute
anddisposition_summary
interfaces that allow to easily compute disposition effect and summary statistics.
Tutorials
References
Mazzucchelli, 2022, An Analysis of Short Selling and Volatility Impact on the Disposition Effect (working paper)
Filippin, Mazzucchelli, and Zanotti, 2022, Portfolio driven disposition effect: the wide framing approach (working paper)
Mazzucchelli, and Zanotti, 2022, Mean reverting expectations to rationalize the disposition effect (working paper)
Computing Disposition Effect on Financial Market Data, 2021, useR! Conference
Getting help
If you encounter a clear bug, please file an issue with a minimal reproducible example on GitHub.
For questions and other discussion, mail us at [email protected].
Acknowledgements
A special thank to Claud Graphics for our logo.