New working paper studying the disposition effect
Post date: Jul 21, 2020 8:43:45 AM
Stefan Palan has just published a new working paper studying the disposition effect. Following a seminar presentation at the Université catholique de Louvain in October of last year, Stefan joined the research project of Rudy De Winne and Nhung Luong, who study whether investors whose behavior exhibits the disposition effect choose different order types and different limit prices than investors less prone to the disposition effect. The working paper reports strong evidence supporting this conjecture from a comprehensive analysis of a large dataset of millions of trades by thousands of Belgian retail investors. For the next version of the paper, the authors aim to run experiments to document causal relationships.
Link to the paper: https://ssrn.com/abstract=3657007