Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/44964
Title: 

The relation of the disposition effect to mutual fund trades and performance

Authors: 
Cici, Gjergji
Year of Publication: 
2011
Series/Report no.: 
CFR working paper 11-05
Abstract: 
We document that, on average, U.S. equity mutual funds prefer realizing capital losses rather than capital gains. A substantial fraction of the sample, however, exhibits the opposite tendency of realizing gains more readily than losses. The documented tendency for this subset appears to be due to the disposition effect. When funds experience outflows and are managed by teams of portfolio managers, they appear more susceptible to sell disproportionately more winners than losers. Disposition-driven behavior affects mutual fund investment styles, causing lower market betas and characteristics of valueoriented and short-term contrarian styles but does not affect mutual fund performance.
Document Type: 
Working Paper

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