The disposition effect in the absence of taxes

摘要

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. (C) 2015 Elsevier B.V. All rights reserved.