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The Disposition Effect in the Brazilian Equity Fund Industry

Author

Listed:
  • Elton Tizziani

    (Pontifícia Universidade Católica do Rio de Janeiro)

  • Marcelo Cabus Klotzle
  • Walter Lee Ness Jr.
  • Luiz Felipe Motta

Abstract

The goal of this study is to test the disposition effect, the tendency of investors to sell winning investments too soon and hold losing investments too long, by analyzing all Brazilian equity fund portfolios from November 2003 to March 2008. The analysis based on the number of trades shows that equity funds are subject to the disposition effect. On the other hand, contrary to evidence from the American stock market, when the analysis is based on trading volume, the disposition effect is not found. Finally, the disposition effect is strongest in funds open to non-qualified investors.

Suggested Citation

  • Elton Tizziani & Marcelo Cabus Klotzle & Walter Lee Ness Jr. & Luiz Felipe Motta, 2010. "The Disposition Effect in the Brazilian Equity Fund Industry," Brazilian Review of Finance, Brazilian Society of Finance, vol. 8(4), pages 383-416.
    • Handle: RePEc:brf:journl:v:8:y:2010:i:4:p:383-416
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    More about this item

    Keywords

    Disposition Effect; Equity Funds; Behavioral Finance;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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