Disposition Effect and Mutual Fund Performance
Journal
Applied Financial Economics
ISSN
0960-3107
ISSN-Digital
1466-4305
Type
journal article
Date Issued
2012-01-03
Author(s)
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
Language
English
Keywords
disposition effect
mutual fund performance
behavioral finance
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Taylor & Francis Group
Publisher place
London
Volume
22
Number
1
Start page
1
End page
19
Pages
19
Subject(s)
Eprints ID
142362
File(s)![Thumbnail Image]()
open.access
Name
F_AppFinEcJ_Disposition Effect and Mutual Fund Performance.pdf
Size
340.35 KB
Format
Adobe PDF
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