We investigate the existence of the disposition effect in institutional traders by analyzing a unique bond trading dataset of a prominent financial firm in South Korea. The trade records do not show any evidence of the disposition effect as defined in popular literature, where the reference is the purchase price. An interesting picture emerges when we divide the sample period according to the sign and size of daily profits. When the market moves favorably, PGR/PLR is high (traders display the disposition effect), and when the market moves unfavorably, PGR/PLR is low (traders show a reverse disposition effect). We conduct additional analysis to see if the phenomenon is caused by a new reference point – the previous day’s closing price. Again, we find no evidence of the disposition effect in regard to previous closing prices. We explain these findings with trader discipline, which mitigates reference dependence and aversion to loss realization.
Keywords: Institutional investors, disposition effect, bond market, loss aversion, framing, trading, reference dependence
학회소식
[2016년 제 1차] Do Institutional Investors Show the Disposition Eff
작성자 : 관리자
조회수 : 896
게시일 :
2016-03-02
