TY - JOUR T1 - Disposition Matters JF - The Journal of Portfolio Management SP - 103 LP - 125 DO - 10.3905/jpm.2008.701622 VL - 34 IS - 2 AU - William N. Goetzmann AU - Massimo Massa Y1 - 2008/01/31 UR - https://pm-research.com/content/34/2/103.abstract N2 - The disposition effect is the well-known tendency to ride losers and sell winners. A panel of individual investor trading records allows examination of the differences in price, volume, and volatility attributable to the disposition effect. When disposition-prone investors increase their holdings in a stock, the volatility, volume, and the return of the stock all drop, as theory would predict. Exposure to a portfolio of stocks held by disposition-prone investors explains cross-sectional differences in daily returns, controlling for other factors and characteristics. In other words, disposition matters to individual and aggregate stock price dynamics.TOPICS: In portfolio management, portfolio construction, statistical methods ER -