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Is the market held by institutional investors? The disposition effect revisited

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  • Croonenbroeck, Carsten
  • Matkovskyy, Roman

Abstract

Czarnitzki and Stadtmann (2005) measure the interdependence of demand for investment advice (approximated by sales of investor magazines) and stock prices. They find strong evidence that confirms the presence of the disposition effect, i.e. the empirical observation that investors sell winners (too) early and abide losers (too) long. We re-investigate their findings and confirm that the effect is very well present in the formerly analyzed time frame, but clearly wears off afterward. As an explanation for the decline, we provide three lines of argumentation and show that disposition effect might dependent on the shareholder structure, which is in line with the theory.

Suggested Citation

  • Croonenbroeck, Carsten & Matkovskyy, Roman, 2013. "Is the market held by institutional investors? The disposition effect revisited," Discussion Papers 338, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
    • Handle: RePEc:zbw:euvwdp:338
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    References listed on IDEAS

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    1. Da Costa, Newton & Goulart, Marco & Cupertino, Cesar & Macedo, Jurandir & Da Silva, Sergio, 2013. "The disposition effect and investor experience," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1669-1675.
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    More about this item

    Keywords

    Disposition Effect; Market Decisions; Market Efficiency; Financial Crisis; Market Structure;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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