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- W2575213612 abstract "We present novel empirical evidence regarding the nature and extent of the disposition effect and tax motivations in stock sales. An issue that arises in empirical study of the disposition effect is that the theory does not specify the appropriate benchmark against which gains and losses should be measured. Using a large data set of stock investments made by individual investors, we find that both returns relative to the market and absolute performance matter in determining stock sales, but in different ways. We find strong evidence for a disposition effect related to returns relative to the market, consistent with our survey evidence indicating that many investors consider relative returns when deciding whether to sell stock. Individual investors appear to shift their reference point when deciding whether to sell a stock, with their benchmark set to an expectation of the stock performing as well as the market. Further, once we control for performance relative to the market, the relation between absolute returns and the sale propensity becomes negative in taxable accounts and disappears in tax-deferred accounts. Thus, tax-motivated trading is much stronger than previous studies suggest." @default.
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- W2575213612 date "2007-01-01" @default.
- W2575213612 modified "2023-09-24" @default.
- W2575213612 title "Everything is Relative: The Disposition Effect and Households' Stock Trades" @default.
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- W2575213612 doi "https://doi.org/10.2139/ssrn.687643" @default.
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