Juan Sandoval, Jairo Rendón, Julio Sarmiento, Edgardo Cayon

Transcripción

1 Juan Sandoval, Jairo Rendón, Julio Sarmiento, Edgardo Cayon The disposition effect: evidence on institutional investors and mutual funds in the United States of America

2 CONTENIDO 1. Motivación 2. Modelo 3. Datos 4. Metodología 5. Resultados 6. Conclusiones

3 1. Motivación Disposition Effect (DE) es la tendencia de los inversionistas en vender ganadores demasiado pronto y mantener los perdedores demasiado tiempo. Antecedentes: Shefrin & Statman (1985) Odean (1998) Weber & Camerer (1998) Brown, Chappel & Rosa (26)

4 2. Modelo Kahneman & Tversky (1979, 1992): Prospect Theory Grinblatt & Han (22, 25): Modelo de creencias heterogéneas Value Function

5 3. Datos Se poseen datos dese 198Q3 hasta 214Q4 CRSP: Precios, volumen, retornos, stock class, bolsa. Thomas Reuters Mutual Fund Holdings. Thomas Reuters Institutional Holdings. Instituciones 5,72 Fondos Mutuos 21,455 Acciones 7,982 Acciones 7,564

6 4. Metodología

7 5. Resultados Table 1. Mean, skewness, kurtosis, and median of the DE distribution by account base in dollars. Institutions t-1 t-2 t-4 Purchase Mean Skewness Kurtosis Median Mutual Funds t-1 t-2 t-4 Purchase Mean Skewness Kurtosis Median

8 5. Resultados Table 2. PGR and PLR based on dollar for institutions and mutual funds by account. Institutions t-1 t-2 t-4 Purchase Odean (1998) Agents 4,39 5,92 4,715 4,878 - PLR PGR PGR-PLR.6** *** t-statistic Mutual Funds t-1 t-2 t-4 Purchase Agents 11,32 16,692 15,261 15,724 PLR PGR PGR-PLR.12***.2** -.1.9*** t-statistic

9 5. Resultados Figure 3. Ratio of PGR to PLR based on trades Mutual Funds Institutions 1,5 1,3 1,4 1,2 1,3 1,2 1,1 1,1 1 1 Q1 Q2 Q3 Q4 Trades(t-1) Trades (t-2) Trades(t-4) Trades(purchase),9 Q1 Q2 Q3 Q4 Trades(t-1) Trades (t-2) Trades(t-4) Trades(purchase)

10 5. Resultados Mutual Funds Figure 5. Portfolio Returns Institutions t t t t t t Purchase Purchase

11 5. Resultados Table 9. Average portfolio size, number of periods reported, cumulative return, and DE using the reference period as the last purchase quarter (purchase). Institutions Quantile DE Size Periods $ 366,7, $ 371,3, $ 37,3, $ 35,8, $ 314,, Mutual Funds Quantile DE Size Periods $ 127,4, $ 138,8, $ 157,6, $ 135,8, $ 81,93,

12 5. Conclusiones A medida que el precio de referencia se aleja del precio de venta en el tiempo, el disposition effect se desvanece. Las instituciones reflejan en promedio un menor disposition effect que los fondos mutuos y ambos son menores que inversionistas individuales comparando con estudios previos. La debilitación del disposition effect al finalizar el año puede ser una explicación del tax-loss. El desempeño de los portafolios con un alto disposition effect tiende en promedio a ser menor que el de un portafolio con un menor disposition effect (reverse). Unas de las características de las cuentas que reflejan un alto disposition effect es que tienden a durar menor en el mercado y su tamaño es pequeño. FUTURO: Entender las dinámicas del precio de referencia. Datos.

13 Bibliografía Ammann, M., Ising, A., & Kessler, S. (212). Disposition effect and mutual fund performance. Applied Financial Economics, 22(1), Badrinath, S. G., & Lewellen, W. G. (1991). Evidence on tax motivated securities trading behavior. The Journal of Finance, 46(1), Brown, P., Chappel, N., Da Silva Rosa, R., & Walter, T. (26). The reach of the disposition effect: Large sample evidence across investor classes. International Review of Finance, 6(1 2), Constantinides, G. M. (1984). Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns. Journal of Financial Economics, 13(1), Dhar, R., & Zhu, N. (22). Up close and personal: An individual level analysis of the disposition effect. Grinblatt, M., & Han, B. (22). The disposition effect and momentum (No. w8734). National Bureau of Economic Research. Grinblatt, M., & Han, B. (25). Prospect theory, mental accounting, and momentum. Journal of financial economics, 78(2), Kahneman, D., & Tversky, A. (1979). Prospect theory: An analysis of decision under risk. Econometrica: Journal of the econometric society, Kliger, D., & Kudryavtsev, A. (28). Reference point formation by market investors. Journal of Banking & Finance, 32(9), Odean, T. (1998). Are investors reluctant to realize their losses? The Journal of finance, 53(5), Shapira, Z., & Venezia, I. (21). Patterns of behavior of professionally managed and independent investors. Journal of Banking & Finance, 25(8), Shefrin, H., & Statman, M. (1985). The disposition to sell winners too early and ride losers too long: Theory and evidence. The Journal of finance, 4(3), Thaler, R. (198). Toward a positive theory of consumer choice. Journal of Economic Behavior & Organization, 1(1), Thaler, R. (1985). Mental accounting and consumer choice. Marketing science, 4(3), Tversky, A., & Kahneman, D. (1992). Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and uncertainty, 5(4), Weber, M., & Camerer, C. F. (1998). The disposition effect in securities trading: An experimental analysis. Journal of Economic Behavior & Organization, 33(2),

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