Disposition Effect among High-Turnover Mutual Fund Managersin Taiwan

@inproceedings{Tung2012DispositionEA,
  title={Disposition Effect among High-Turnover Mutual Fund Managersin Taiwan},
  author={Shin-Ta Tung},
  year={2012}
}
A unique dataset of intra-month round-trip transactions of high-turnover-rate mutual funds provides this research a vehicle to uncover the evidence of a well-known behavioral anomaly-disposition effect, i.e. loss aversion, among mutual fund managers in Taiwan. This study finds on average in a 10-year period from 1999 to 2008 these funds hold losing securities significantly longer than profiting ones. The data of round-trip transactions is free from the issue of portfolio-rebalancing. It also… CONTINUE READING

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