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• W2183330329 abstract "This paper studies the impact of the disposition effect, which results in uninformed sales when investors realize their capital gains. Using a microstructure model with anonymous trading, I show that market makers post tighter bid-ask spreads and quote prices that are less sensitive to sales for stocks trading at capital gains, as they rationally anticipate uninformed sales due to the disposition effect. Empirically, for firms with positive stock returns on merger and acquisition announcement dates, which could trigger disposition sales, I find evidence that a proxy for aggregate unrealized capital gains is related to liquidity improvements and decreased price impact; such relationships are not observed among firms with negative returns on announcement dates." @default.
• W2183330329 created "2016-06-24" @default.
• W2183330329 creator A5056732709 @default.
• W2183330329 date "2011-01-01" @default.
• W2183330329 modified "2023-09-26" @default.
• W2183330329 title "The Impact of the Disposition Effect on Liquidity and Stock Prices" @default.
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• W2183330329 hasPublicationYear "2011" @default.
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