Avoiding regret in an agent-based asset pricing model

We use an agent-based asset pricing model to test the implications of the disposition effect (avoiding regret) on investors' interactions and price settings. We show that it has a direct impact on the returns series produced by the model, altering important stylized facts such as its heavy tails and volatility clustering. Moreover, we show that the horizon over which investors compute their wealth has no effect on the dynamics produced by the model.