Disposition matters: volume, volatility and price impact on behavioral bias (Journal of Trading)
Author: Goetzmann, William ; Massa, MassimoINSEAD Area: FinanceIn: Journal of Trading, vol. 3, no. 2, spring 2008 Language: EnglishDescription: p. 68-90.Type of document: INSEAD ArticleNote: Please ask us for this itemAbstract: We study the market impact of the disposition effect. We the relationship between the preponderance of disposition traders and stock volatility, return and trading volume. We use a large sample of individual trading accounts over a six-year period. We show that, at a daily frequency, when the fraction of disposition-prone investor trades in a stock increases, the stock volatility, return and trading volume all decrease. We further show that stock-specific disposition aggregates to a common factor. Statistical exposure to such this disposition-related factor explains cross-sectional differences in daily returns, after controlling for a host of other factors and characteristics| Item type | Current location | Call number | Status | Date due | Barcode | Item holds |
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We study the market impact of the disposition effect. We the relationship between the preponderance of disposition traders and stock volatility, return and trading volume. We use a large sample of individual trading accounts over a six-year period. We show that, at a daily frequency, when the fraction of disposition-prone investor trades in a stock increases, the stock volatility, return and trading volume all decrease. We further show that stock-specific disposition aggregates to a common factor. Statistical exposure to such this disposition-related factor explains cross-sectional differences in daily returns, after controlling for a host of other factors and characteristics
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