Disposition effect and mutual fund performance

• Autores: M. Ammann, Alexander Ising, S. Kessler
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 22, Nº. 1-3, 2012, págs. 1-19
• Idioma: inglés
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• Resumen

  • 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.