Disposition Effect Among Mutual Fund Managers

摘要

This paper documents the existence among mutual fund managers of the disposition effect (the reluctance to sell poorly performing stocks) by focusing on the trading behavior of funds that recently experienced recent managerial change. These funds are more likely to reduce holdings of momentum losers than funds that have not changed managers even after controlling for the initial portfolio composition. In contrast, continuing managers tilt the portfolio composition towards momentum losers by disproportionately selling momentum winners. Given that mutual funds hold a large fraction of the U.S. equity market the existence of the disposition effect could illuminate such price behaviors as the momentum effect.