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- W3124014361 abstract "This article finds strong evidence for the presence of the disposition effect among US mutual fund managers. The analysis can establish a link between the disposition effect and mutual fund characteristics as well as changes in the macroeconomic environment. Managers with a lower disposition effect are found to invest in larger equities with a higher trade volume, a higher past performance, lower idiosyncratic risk, and a higher risk-adjusted performance. However, fund characteristics and the economic environment can only explain a limited amount of the variation in the disposition effect across mutual funds. Using a new methodology to reduce the disposition effect exhibited by mutual fund investments, we find no increase in their profitability. Although statistically significant, the disposition effect has only a minor economic effect on fund performance." @default.
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- W3124014361 date "2011-01-01" @default.
- W3124014361 modified "2023-09-23" @default.
- W3124014361 title "Disposition Effect and Mutual Fund Performance" @default.
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- W3124014361 doi "https://doi.org/10.2139/ssrn.1858930" @default.
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