Market States and Disposition Effect: Evidence from Taiwan Mutual Fund Investors

@inproceedings{Lee2013MarketSA,
  title={Market States and Disposition Effect: Evidence from Taiwan Mutual Fund Investors},
  author={Jen-Sin Lee and Pi-Hsia Yen and Kam Che Chan},
  year={2013}
}
We study the disposition effect across market states in the context of mutual fund investors in Taiwan. Using mutual fund data at the fund and individual levels during July 2001 to October 2008, we find that the disposition effect varies across market states. Our results suggest that investors redeem their mutual fund units more under a bear market than a bull market when they have extreme capital losses. When investors have moderate capital gains, they are less active in redeeming their mutual… CONTINUE READING