We estimate the disposition effect for active traders in a large discount brokerage dataset containing US households trading records between 1991 and 1996. We apply a wide framing perspective, focusing on portfolios rather than individual stocks. We find that the disposition effect varies inversely with the proportion of stocks trading at a gain in the portfolio, nearly vanishing when this proportion reaches 50%. This is driven by how the realisation of gains and losses depends on the percentage of gains in the account. The probability to realise a loss increases with the percentage of gains in the account. The relation between the probability of realising a gain and the percentage of gains in the bank account follows a U-shape. We also estimate the change in the disposition effect when an investor realises more than one stock on a trading day. We find when investors sell a stock, they are much more likely to also realise another stock on the same day. In particular, selling a loss increases an investor’s propensity to sell a gain and vice versa. This key finding provides an explanation for the observed dependency of the disposition effect on the portfolio composition. We also propose several psychological explanations for our findings.

我们在包含1991年至1996年间美国家庭交易记录的大型折扣经纪数据集中，估计了活跃交易者的处置效果。我们采用了广泛的框架视角，专注于投资组合，而不是个人股票。我们发现，处置效应随股票在投资组合中获得收益的比例成反比，当该比例达到50％时几乎消失。这取决于损益的实现方式如何取决于帐户中收益的百分比。实现损失的可能性随着帐户中收益的百分比而增加。实现收益的可能性与银行帐户中收益百分比之间的关系呈U形。我们还估计了当投资者在交易日变现多于一只股票时的处置效应的变化。我们发现，当投资者卖出股票时，他们更有可能在同一天变卖另一只股票。尤其是，卖出亏损会增加投资者卖出收益的倾向，反之亦然。该主要发现为观察到的处置效应对投资组合构成的依赖性提供了解释。我们还为我们的发现提出了几种心理解释。