A meta-analysis of disposition effect experiments

No 2024-02, Working Papers from University of Sydney, School of Economics

Abstract: This paper reports a meta-analysis of the disposition effect – the reluctance to liquidate losing investments – in three standard experimental environments in which this behaviour is normatively a mistake. Under baseline conditions, the literature finds that investors are around 10% more willing to sell winning compared to losing assets, despite optimal choice dictating the opposite. In treatment tests of interventions to debias the disposition effect, the meta-analytic effect size implies slightly over a one-half standard deviation reduction in the bias. There is little evidence of selective reporting of the baseline disposition effect, but stronger evidence of bias in reporting treatment effects.

Keywords: behavioural finance; disposition effect; meta-analysis (search for similar items in EconPapers)
Date: 2024-03
New Economics Papers: this item is included in nep-exp
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Citations: View citations in EconPapers (1)

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