TY - JOUR
T1 - The disposition effect and the relevance of the reference period
T2 - Evidence among sophisticated investors
AU - Sarmiento, Julio
AU - Rendón, Jairo
AU - Sandoval, Juan S.
AU - Cayon, Edgardo
N1 - Publisher Copyright:
© 2019 Elsevier B.V.
PY - 2019/12
Y1 - 2019/12
N2 - The Disposition Effect (DE) describes the disposition of selling winners too early and of keeping losers for too long. Conventionally the DE is measure using trades and the average purchase price. Being more rigorous with its measure, we found that US institutional and mutual fund present some evidence of DE when we used trades as the unit of measurement for both type of agents, but if we used dollars value as the unit of measurement, the DE vanishes as the time window becomes more distant. This reflects that the DE is a short term phenomenon that requires to consider how the reference periods are form but also which unit of measure are used. Considering this, we found that the market participants with the highest DE tend, on average, to be those with lower cumulative return, have smallest value portfolios, last the least, and have the highest coefficient of variation.
AB - The Disposition Effect (DE) describes the disposition of selling winners too early and of keeping losers for too long. Conventionally the DE is measure using trades and the average purchase price. Being more rigorous with its measure, we found that US institutional and mutual fund present some evidence of DE when we used trades as the unit of measurement for both type of agents, but if we used dollars value as the unit of measurement, the DE vanishes as the time window becomes more distant. This reflects that the DE is a short term phenomenon that requires to consider how the reference periods are form but also which unit of measure are used. Considering this, we found that the market participants with the highest DE tend, on average, to be those with lower cumulative return, have smallest value portfolios, last the least, and have the highest coefficient of variation.
KW - Disposition effect
KW - Institutions
KW - Investment decisions
KW - Mutual funds
UR - http://www.scopus.com/inward/record.url?scp=85064719030&partnerID=8YFLogxK
U2 - 10.1016/j.jbef.2019.04.004
DO - 10.1016/j.jbef.2019.04.004
M3 - Article
AN - SCOPUS:85064719030
SN - 2214-6350
VL - 24
JO - Journal of Behavioral and Experimental Finance
JF - Journal of Behavioral and Experimental Finance
M1 - 100211
ER -