The anatomy of the disposition effect: Which factors are most important?

Yongkil Ahn

doi:10.1016/j.frl.2021.102040

The anatomy of the disposition effect: Which factors are most important?

Yongkil Ahn

Dept. of Business Administration

Research output: Contribution to journal › Article › peer-review

18 Scopus citations

Abstract

This study analyzes the complete trading records, as well as the detailed individual-level survey responses of 76,172 retail investors to examine the relative importance of many factors that are associated with the disposition effect, which involves the tendency to take gains too early while holding on to losses. Feature selection techniques unveil that gender, loss aversion, and investor sophistication are the keys to grasping the disposition effect.

Original language	English
Article number	102040
Journal	Finance Research Letters
Volume	44
DOIs	https://doi.org/10.1016/j.frl.2021.102040
State	Published - Jan 2022

Keywords

Disposition effects
Feature selection
Machine learning

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10.1016/j.frl.2021.102040

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title = "The anatomy of the disposition effect: Which factors are most important?",

abstract = "This study analyzes the complete trading records, as well as the detailed individual-level survey responses of 76,172 retail investors to examine the relative importance of many factors that are associated with the disposition effect, which involves the tendency to take gains too early while holding on to losses. Feature selection techniques unveil that gender, loss aversion, and investor sophistication are the keys to grasping the disposition effect.",

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AB - This study analyzes the complete trading records, as well as the detailed individual-level survey responses of 76,172 retail investors to examine the relative importance of many factors that are associated with the disposition effect, which involves the tendency to take gains too early while holding on to losses. Feature selection techniques unveil that gender, loss aversion, and investor sophistication are the keys to grasping the disposition effect.

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KW - Feature selection

KW - Machine learning

UR - https://www.scopus.com/pages/publications/85103736863

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DO - 10.1016/j.frl.2021.102040

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VL - 44

JO - Finance Research Letters

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The anatomy of the disposition effect: Which factors are most important?

Abstract

Keywords

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