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The V-Shaped Disposition Effect in the Stock Exchange of Thailand KCI 등재 SCOPUS
- 언어ENG
- URLhttps://db.koreascholar.com/Article/Detail/400943
The objective of this study is to investigate how investors in the Stock Exchange of Thailand practically trade in response to a magnitude of profits and losses, given a discussion of the widely well-known behavioral explanation, so called as the disposition effect. We provide empirical evidence of an existence of the V-shaped disposition effect, which has been recently found in several advanced equity markets. By adopting the methodology suggested by An’s (2016) and Fama and Macbeth (1973), we document that stock return patterns in relation to aggregate unrealized gains and losses of investors are consistent with the V-shaped selling schedule, given an increase in unrealized gains and losses over the period of January 1996 to December 2015. The effect of unrealized gains is stronger than that of unrealized losses and this asymmetry underlies the existence of the V-shaped disposition effect in the Thai equity market. Interestingly, the effect of the V-shaped selling schedule is strongest over the short-term holding time horizon. Last but not the least, stocks for which investors have large unrealized gains and losses outperform in the following month and the long-short trading strategy, based on this premise, generates the average 1.7% monthly (equivalent to 20.0% per year) abnormal return.
1. Introduction
2. The V-Shaped Selling Schedule andV-Shaped Disposition Effect
3. Review of Literature
4. Data and Key Variables
4.1. Stock Samples and Filters
4.2. Gain, Loss, and the V-Shaped SellingPropensity Variables
4.3. Other Control Variables
5. Methodology
5.1. The Effects of Gains and Losses on AssetPrices
5.2. The Effect of the V-Shaped Selling Propensityon Asset Prices
6. Empirical Results
6.1. Summary Statistics
6.2. The Effects of Gains and Losses on Asset Prices
6.3. The Effect of the V-Shaped Selling Propensityon Asset Prices
7. Conclusion
References
