Does Yearend Sweep Ameliorate the Disposition Effect of Mutual Fund Investors?
Date Issued
2002-12-19
Date
2002-12-19
Author(s)
DOI
20060927122728976527
Abstract
Even though mutual fund investors in general are less active than individual investors,
they still exhibit the disposition effect: a tendency to sell winners too soon while keep
losers too long. However, in January and February, the months approaching Chinese
New Year, investors are less disposed to dealing with their winners and losers. This
might be related to their urgency in need of money for preparing the spending during
the Lunar New Year festival; or they trigger the self-control mechanism to clear
position, dubbed as yearend sweep that is a tradition before the Lunar New Year
festival in Chinese societies. In fact, we find that investors have higher average
returns and higher ex-post returns when their tendency of disposition is ameliorated,
as the case in January and February. Moreover, when the market return as a whole is
less than satisfactory, investors tend to exhibit the disposition effect.
they still exhibit the disposition effect: a tendency to sell winners too soon while keep
losers too long. However, in January and February, the months approaching Chinese
New Year, investors are less disposed to dealing with their winners and losers. This
might be related to their urgency in need of money for preparing the spending during
the Lunar New Year festival; or they trigger the self-control mechanism to clear
position, dubbed as yearend sweep that is a tradition before the Lunar New Year
festival in Chinese societies. In fact, we find that investors have higher average
returns and higher ex-post returns when their tendency of disposition is ameliorated,
as the case in January and February. Moreover, when the market return as a whole is
less than satisfactory, investors tend to exhibit the disposition effect.
Subjects
disposition effect
mutual fund investors
yearend sweep
Publisher
臺北市:國立臺灣大學財務金融學系
Type
report
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