Selling Losers and Winners: A Test of the Disposition and House Money Effect

Pi-Hsia Yen ()
Additional contact information
Pi-Hsia Yen: Yu Da University of Science and Technology

No 6910161, Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences

Abstract: This paper test of the disposition and house money effect across market states in the context of mutual fund investors in China, based on a sample period that extends from January 2006 to December 2017. Previous studies primarily document the existence of the disposition effect in China without addressing: first, the impact of market states (bullish, bearish and neutral market) on the investors? disposition effect; and, second, we separate the fund performance according to the different levels of gains and losses. Our results suggest that investors are characterized by a house money effect when they have extreme capital gains under a bull market, and investors are characterized by an inverse disposition effect (they redeem their losing mutual fund units) when they have moderate capital losses under a neutral market. Thus, disposition effect is not uniform; it varies across market states in China. Our findings are robust to aggregate, investor levels, and the others robustness testing factors.

Keywords: disposition effect; mutual fund investors; market states; house money effect, China (search for similar items in EconPapers)
JEL-codes: G02 G10 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2018-10
New Economics Papers: this item is included in nep-tra
References: Add references at CitEc
Citations:

Published in Proceedings of the Proceedings of the 10th Economics & Finance Conference, Rome, Oct 2018, pages 562-575

Downloads: (external link)
https://iises.net/proceedings/10th-economics-finan ... 69&iid=040&rid=10161 First version, 2018

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sek:iefpro:6910161

Access Statistics for this paper

More papers in Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences
Bibliographic data for series maintained by Klara Cermakova ().