The disposition effect in the absence of taxes

Firth, Chris (2015) The disposition effect in the absence of taxes. Economics Letters, 136 . pp. 55-58. ISSN 0165-1765

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Abstract

I measure household investment decisions undertaken in a setting that is free from investment taxes.
The disposition effect is unequivocally present, but any seasonal impact of tax-loss selling is absent.
There is evidence that the disposition effect correlates positively with inferior risk-adjusted investment
performance. Although household preferences are unknown, losses cannot be explained by tax benefits.

Keywords:Disposition effect, Tax distortions, December effect, NotOAChecked
Subjects:N Business and Administrative studies > N300 Finance
Divisions:Lincoln International Business School
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ID Code:27046
Deposited On:24 Apr 2017 13:03

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