RT Journal Article
SR Electronic
T1 Disposition Matters
JF The Journal of Trading
FD Institutional Investor Journals
SP 68
OP 90
DO 10.3905/jot.2008.705642
VO 3
IS 2
A1 William N. Goetzmann
A1 Massimo Massa
YR 2008
UL https://pm-research.com/content/3/2/68.abstract
AB The disposition effect is the well-known tendency to ride losers and sell winners. A panel of individual investor trading records allows examination of the differences in price, volume, and volatility attributable to the disposition effect. When disposition-prone investors increase their holdings in a stock, the volatility, volume, and the return of the stock all drop, as theory would predict. Exposure to a portfolio of stocks held by disposition-prone investors explains cross-sectional differences in daily returns, controlling for other factors and characteristics. In other words, disposition matters to individual and aggregate stock price dynamics.TOPICS: Volatility measures, factor-based models