TY  - UNPD
A1  - Bernard, Sabine
A1  - Loos, Benjamin
A1  - Weber, Martin
T1  - The disposition effect in boom and bust markets
T2  - SAFE working paper ; No. 305
N2  - The disposition effect is implicitly assumed to be constant over time. However, drivers of the disposition effect (preferences and beliefs) are rather countercyclical. We use individual investor trading data covering several boom and bust periods (2001-2015). We show that the disposition effect is countercyclical, i.e. is higher in bust than in boom periods. Our findings are driven by individuals being 25% more likely to realize gains in bust than in boom periods. These changes in investors’ selling behavior can be linked to changes in investors’ risk aversion and in their beliefs across financial market cycles.
T3  - SAFE working paper - 305 
KW  - Disposition Effect
KW  - Financial Market Cycles
KW  - Household Finance
KW  - Retail Investor
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/58268
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-582686
PB  - SAFE
CY  - Frankfurt am Main
ER  -