A fundamental assumption of prospect theory is gain–loss separability (GLS)—the assertion that the overall utility of a prospect can be expressed as a function of the utilities of its positive and negative components. Violations of GLS may potentially limit the generalization of results from studies of single‐domain prospects to mixed prospects and systematically distort the predictions of the theory. Violations also have implications for how choices with positive and negative components should be presented to decision makers. Previous studies, using different elicitation methods, have documented different rates, and types, of systematic violations of GLS. We discuss the differences between two specific elicitation methods—binary choice and certainty equivalents—and report results of a new study of GLS using both methods and randomly generated prospects. We compare the extent and nature of GLS violations under the two elicitation methods using between‐subject and within‐subject analyses. We find (i) systematic violations of GLS under both methods, (ii) higher rates of violations under choice, (iii) higher sensitivity to the outcomes for the certainty equivalents, which is consistent with the predictions of the scale‐compatibility hypothesis, and (iv) different patterns of violations under the two methods, which are explained by method‐specific preferences. We discuss the psychological mechanisms underlying the findings and the implications for presenting information with gain and loss components. Copyright © 2012 John Wiley & Sons, Ltd.