View source: R/disposition_effect.R
disposition_effect | R Documentation |
Compute the disposition effect and the disposition difference.
disposition_effect(realized_gains, paper_gains, realized_losses, paper_losses) disposition_difference(gains, losses) disposition_compute( gainslosses, dispdiff_value = FALSE, aggregate_fun = NULL, ... ) disposition_compute_ts(gainslosses, aggregate_fun = NULL, ...) disposition_summary(gainslosses, dispdiff_value = FALSE) disposition_summary_ts(de_timeseries)
realized_gains |
Numeric vector (or scalar) containing realized gains values. |
paper_gains |
Numeric vector (or scalar) containing paper gains values. |
realized_losses |
Numeric vector (or scalar) containing realized losses values. |
paper_losses |
Numeric vector (or scalar) containing paper losses values. |
gains |
Numeric vector (or scalar) containing gains. |
losses |
Numeric vector (or scalar) containing losses. |
gainslosses |
Data frame, the portfolio of the investor containing the
realized and paper gains and losses results (as those obtained via
|
dispdiff_value |
Logical, if TRUE the disposition difference on the "value" method is computed. Default to disposition effect (FALSE). |
aggregate_fun |
Function to use to aggregate results.
Default to |
... |
Further arguments to be passed to the aggregate function. |
de_timeseries |
Data frame, the time series of disposition effects. |
The disposition effect is defined as DE = (Realized Gain / (Realized Gain - Paper Gain)) - (Realized Loss / (Realized Loss + Paper Loss))
The disposition difference is defined as DD = Realized Gain - |Realized Loss| or DD = Paper Gain - |Paper Loss|
Numeric vector (or scalar) with the value(s) of disposition effect(s) or disposition difference(s).
disposition_effect
: Compute the disposition effect
disposition_difference
: Compute the disposition difference
disposition_compute
: Compute the disposition effect directly on
the investor's portfolio containing realized and paper gains and losses
results.
disposition_compute_ts
: Compute the time series disposition effect
on the gains and losses results.
disposition_summary
: Wrapper that returns the most important
summary statistics related to the disposition effect.
disposition_summary_ts
: Wrapper that returns the most important
summary statistics related to the time series disposition effect.
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