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The disposition effect in the absence of taxes

Chris Firth

Economics Letters, 2015, vol. 136, issue C, 55-58

Abstract: I measure household investment decisions undertaken in a setting that is free from investment taxes. The disposition effect is unequivocally present, but any seasonal impact of tax-loss selling is absent. There is evidence that the disposition effect correlates positively with inferior risk-adjusted investment performance. Although household preferences are unknown, losses cannot be explained by tax benefits.

Keywords: Disposition effect; Tax distortions; December effect (search for similar items in EconPapers)
JEL-codes: D12 G02 H31 (search for similar items in EconPapers)
Date: 2015
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Handle: RePEc:eee:ecolet:v:136:y:2015:i:c:p:55-58