Juan Sandoval, Jairo Rendón, Julio Sarmiento, Edgardo Cayon The disposition effect: evidence on institutional investors and mutual funds in the United States of America
CONTENIDO 1. Motivación 2. Modelo 3. Datos 4. Metodología 5. Resultados 6. Conclusiones
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)
2. Modelo Kahneman & Tversky (1979, 1992): Prospect Theory Grinblatt & Han (22, 25): Modelo de creencias heterogéneas Value Function
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
4. Metodología
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.61.17.14.1 Skewness -.39 -.1692 -.49 -.1153 Kurtosis 8.318 13.2149 16.824 13.4557 Median.69.4 -.1 -.12 Mutual Funds t-1 t-2 t-4 Purchase Mean.124.17 -.6.92 Skewness -.4517 -.5747 -.5561 -.7978 Kurtosis 9.512 16.797 19.388 17.552 Median.151.39.1.1
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.1.95.91.112.42 PGR.16.97.92.113.58 PGR-PLR.6**.2.1.1.16*** t-statistic 2.13 1.3.876.561 13 Mutual Funds t-1 t-2 t-4 Purchase Agents 11,32 16,692 15,261 15,724 PLR.54.62.65.64 PGR.63.64.64.72 PGR-PLR.12***.2** -.1.9*** t-statistic 7.761 1.858 -.734 11.61
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)
5. Resultados Mutual Funds Figure 5. Portfolio Returns Institutions 12345 t-1 1 2 3 4 t-2 2 4 6 t-1 2 4 6 8 t-2 5 1 15 2 25 5 1 15 2 25 2 4 6 8 t-4 5 1 15 2 25 5 1 15 2 25 1 2 3 4 t-4 1 2 3 Purchase 2 4 6 8 Purchase 5 1 15 2 25 5 1 15 2 25 5 1 15 2 25 5 1 15 2 25
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 1 -.196 $ 366,7,. 63.6 2 -.323 $ 371,3,. 72.8 3 -.19 $ 37,3,. 68.1 4.296 $ 35,8,. 63.9 5.1267 $ 314,,. 46.9 Mutual Funds Quantile DE Size Periods 1 -.77 $ 127,4,. 48.3 2 -.93 $ 138,8,. 52.2 3.73 $ 157,6,. 59.5 4.295 $ 135,8,. 56.5 5.951 $ 81,93,33. 43.5
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.
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JUAN-SANDOVAL@JAVERIANA.EDU.CO GRACIAS