Disposition effect, investor sophistication and taxes: Some French Specificities

Shaneera Boolell-Gunesh, Marie-Hélène Broihanne and Maxime Merli

Finance, 2009, vol. 30, issue 1, 51-78

Abstract: We investigate the presence of the disposition effect for 90 244 individual investors using a unique large brokerage account database between 1999 and 2006. Our main results show that individual investors demonstrate a strong preference for realizing their winning stocks rather than their losing ones. However, the fiscal impact in France appears to be moderate relative to the one observed in other countries. Taking French specificities such as, the way short sales are realized and the existence of tax free account (PEA account) into account, show that: a) the behavioral bias is not eliminated for sophisticated individual investors; b) the change of ?tax account type? does not imply any change in investors? behavior.

Date: 2009
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