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The disposition effect and the relevance of the reference period : evidence among sophisticated investors

dc.contributor.authorSarmiento Sabogal, Julio Alejandrospa
dc.contributor.authorRendón, Jairo Andrésspa
dc.contributor.authorSandoval, Juan S.spa
dc.contributor.authorCayón Fallon, Edgardospa
dc.date.accessioned2023-06-21T22:23:05Z
dc.date.available2023-06-21T22:23:05Z
dc.date.issued2019-12
dc.identifier.issn2214-6350
dc.identifier.urihttp://hdl.handle.net/10726/5083
dc.language.isoeng
dc.publisherElsevier BV
dc.subjectDisposition effect
dc.subjectMutual funds
dc.subjectInstitutions
dc.subjectInvestment decisions
dc.titleThe disposition effect and the relevance of the reference period : evidence among sophisticated investorseng
dc.typearticle
dc.rights.accessrightsinfo:eu-repo/semantics/restrictedAccess
dc.rights.localAcceso Restringido
dc.type.versioninfo:eu-repo/semantics/acceptedVersion
dc.identifier.instnameinstname:Colegio de Estudios Superiores de Administración – CESA
dc.identifier.reponamereponame:Biblioteca Digital – CESA
dc.identifier.repourlrepourl:https://repository.cesa.edu.co/
dc.description.abstractenglishThe Disposition Effect (DE) describes the disposition of selling winners too early and of keeping losers for too long. Conventionally the DE is measure using trades and the average purchase price. Being more rigorous with its measure, we found that US institutional and mutual fund present some evidence of DE when we used trades as the unit of measurement for both type of agents, but if we used dollars value as the unit of measurement, the DE vanishes as the time window becomes more distant. This reflects that the DE is a short term phenomenon that requires to consider how the reference periods are form but also which unit of measure are used. Considering this, we found that the market participants with the highest DE tend, on average, to be those with lower cumulative return, have smallest value portfolios, last the least, and have the highest coefficient of variation.eng
dc.type.coarhttp://purl.org/coar/resource_type/c_2df8fbb1
dc.relation.citationvolume24
dc.contributor.orcidSarmiento Sabogal, Julio Alejandro [0000-0001-5986-4813]
dc.contributor.orcidRendón, Jairo Andrés [0000-0001-6201-0843]
dc.contributor.orcidSandoval, Juan S. [0000-0003-3773-3606]
dc.contributor.orcidCayón Fallon, Edgardo [0000-0002-4113-5521]
dc.type.driverinfo:eu-repo/semantics/article
dc.type.redcolhttp://purl.org/redcol/resource_type/ART
dc.type.coarversionhttp://purl.org/coar/version/c_71e4c1898caa6e32
dc.contributor.scopusSarmiento Sabogal, Julio Alejandro [57196465468]
dc.contributor.scopusRendón, Jairo Andrés [57208392186]
dc.contributor.scopusSandoval, Juan S. [57196467374]
dc.contributor.scopusCayón Fallon, Edgardo [56395390800]
dc.description.orcidhttps://orcid.org/0000-0001-5986-4813
dc.description.orcidhttps://orcid.org/0000-0001-6201-0843
dc.description.orcidhttps://orcid.org/0000-0003-3773-3606
dc.description.orcidhttps://orcid.org/0000-0002-4113-5521
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196465468
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57208392186
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=57196467374
dc.description.scopushttps://www.scopus.com/authid/detail.uri?authorId=56395390800
dc.identifier.eissn2214-6369
dc.relation.ispartofjournalJournal of Behavioral and Experimental Finance
dc.identifier.doihttps://doi.org/10.1016/j.jbef.2019.04.004
dc.rights.coarhttp://vocabularies.coar-repositories.org/access_rights/c_16ec/


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