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

Yongkil Ahn

Finance Research Letters, 2022, vol. 44, issue C

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.

Keywords: Disposition effects; Feature selection; Machine learning (search for similar items in EconPapers)
JEL-codes: E22 E23 G11 G12 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001215

DOI: 10.1016/j.frl.2021.102040

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