Who Are Reluctant to Realize Their Losses?
Date Issued
2002-12-19
Date
2002-12-19
Author(s)
DOI
20060927122729054622
Abstract
This paper investigates the disposition effect of individual investors from a data set of
53,680 accounts covering 10,883,473 transaction records. The results show that
investors in Taiwan exhibit disposition effect to an extent more than the U.S. investors.
The results of logistic regression and tobit regression show that aged female is more
inclined to asymmetrically deal with their winners than losers. In contrast, the
margin-purchase or short-selling investor is less to be the pawn of the disposition
effect. We also explore the situations faced by investors and find that investors in the
high-absolute-return quartiles are not disposed.
Subjects
the disposition effect
investor characteristics
self-control mechanism
Publisher
臺北市:國立臺灣大學財務金融學系
Type
report
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