Disposition Effect and Firm Size: New Evidence on Individual Investor Trading Activity

Ranguelova, Elena

doi:10.2139/ssrn.293618

Cited by 47 publications

(41 citation statements)

References 30 publications

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“…Odean (1998) has investigated disposition effect by analyzing the information related existing transaction accounts in a brokerage (Pempin, 2009). He found that stockholders, on the whole, prefer loser stocks over the winner stocks which are confirmed by other studies (Shefrin & Statman, 1985;Odean, 1998;Weber & Camerer, 1998;Locke & Mann, 2000;Grinblatt & Keloharju, 2001;Ranguelova, 2001) that come across similar findings.…”

Section: Theoretical Framework Of the Study And A Review Of Previous supporting

confidence: 64%

Factors Affecting the Disposition Effect in Tehran Stock Market

Tehrani¹,

Gharehkoolchian²

2012

IBR

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Given the significance and perceived inevitability of disposition effect and its impact on investment decisions, we investigate factors affecting the disposition effect in the Tehran Stock Exchange. Four hypotheses were developed and the data used in the study were collected through availability sampling. One-sample t-test, two-sample t-test and one-way ANOVA were run to analyze the data while Pearson correlation test and multiple regressions were used to assess relationships among variables in question. The results of the analyses indicate that overconfidence and mental accounting were not significantly correlated with disposition effect. Regret aversion had a positive relationship with disposition effect while self control was negatively associated. It was also observed that there was a negative relationship between participants' level of education and their disposition effect indicating that the higher the level of education, the less the rate of disposition effect. Furthermore, the results of the study show that males enjoy a higher level of overconfidence than females, and 20 to 30 year-old age groups displayed much overconfidence than other age groups.

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Section: Theoretical Framework Of the Study And A Review Of Previous supporting

confidence: 64%

Factors Affecting the Disposition Effect in Tehran Stock Market

Tehrani¹,

Gharehkoolchian²

2012

IBR

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“…In line with Odean, and applying similar technique, Chen et al (2007) show that Chinese investors are also susceptible to the disposition effect, individual investors being more affected by this bias than institutional ones. Ranguelova (2001) documents a strongly pronounced disposition effect for high capitalization stocks, and a reversed effect for low capitalization stocks. Dhar and Zhu (2002) find that the disposition effect is mainly pronounced by low-income and non-professional investors.…”

Section: Literature Reviewmentioning

confidence: 97%

Reference point formation by market investors

Kliger

Kudryavtsev

2008

Journal of Banking & Finance

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“…In the first group, among the studies that tried to report the disposition effect in individual investors, those that stand out are Odean (1998), Ranguelova (2001), Dhar and Zhu (2002) and Ben-David and Hirshleifer (2012) on the American market and Boebel and Taylor (2000) and Brown et al, (2006) Some authors tried to report the presence of disposition effect both in individual investors and in professional managers. Shefrin and Statman (1985) studied the American market, Grinblatt and Keloharju (2000), the Finnish market, Shapira and Venezia (2001), the Israeli market, Karsten (2005), the Brazilian market and Barber, Lee, Liu and Odean (2007), the Taiwanese market.…”

Section: Empirical Evidencementioning

confidence: 99%

Disposition Effect Among Brazilian Equity Fund Managers

2015

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The disposition effect predicts that investors tend to sell winning stocks too soon and ride losing stocks too long. Despite the wide range of research evidence about this issue, the reasons that lead investors to act this way are still subject to much controversy between rational and behavioral explanations. In this article, the main goal was to test two competing behavioral motivations to justify the disposition effect: prospect theory and mean reversion bias. To achieve it, an analysis of monthly transactions for a sample of 51 Brazilian equity funds from 2002 to 2008 was conducted and regression models with qualitative dependent variables were estimated in order to set the probability of a manager to realize a capital gain or loss as a function of the stock return. The results brought evidence that prospect theory seems to guide the decision-making process of the managers, but the hypothesis that the disposition effect is due to mean reversion bias could not be confirmed.KEYWORDS | Loss aversion, disposition effect, prospect theory, mean reversion, logistic regression. RESUMO RAE-Revista de Administração de Empresas | FGV-EAESP

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Disposition Effect and Firm Size: New Evidence on Individual Investor Trading Activity

Cited by 47 publications

References 30 publications

Factors Affecting the Disposition Effect in Tehran Stock Market

Factors Affecting the Disposition Effect in Tehran Stock Market

Reference point formation by market investors

Disposition Effect Among Brazilian Equity Fund Managers

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