The Disposition Effect in the Brazilian Equity Fund Industry

Elton Tizziani (), Marcelo Klotzle, Walter Lee Ness () and Luiz Felipe Motta ()
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Elton Tizziani: Pontifícia Universidade Católica do Rio de Janeiro

Brazilian Review of Finance, 2010, vol. 8, issue 4, 383-416

Abstract: The goal of this study is to test the disposition effect, the tendency of investors to sell winning investments too soon and hold losing investments too long, by analyzing all Brazilian equity fund portfolios from November 2003 to March 2008. The analysis based on the number of trades shows that equity funds are subject to the disposition effect. On the other hand, contrary to evidence from the American stock market, when the analysis is based on trading volume, the disposition effect is not found. Finally, the disposition effect is strongest in funds open to non-qualified investors.

Keywords: Disposition Effect; Equity Funds; Behavioral Finance (search for similar items in EconPapers)
JEL-codes: G11 G12 G20 (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:8:y:2010:i:4:p:383-416

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