Purpose

This study aims to investigate the association of demographic characteristics, market conditions and risk taking with the disposition effect using data on Brazilian individual investors.

Design/methodology/approach

This study uses a unique data set with monthly data from June 2007 to February 2017 provided by one of the largest asset management firms in Brazil. This paper computes the proportion of gains realized and the proportion of losses realized to see if investors incur the disposition effect. This paper then performs logistic regressions to verify the association between investors’ disposition effects and demographic and portfolio characteristics. This paper analyses the prevalence of cognitive biases depending on market conditions (bull or bear markets) and include regressions by asset class as robustness checks.

Findings

This paper finds evidence that risk averse investors are more prone to the disposition effect, male subjects are less prone to this cognitive bias and age is not associated with the disposition effect. This paper observes that the tendency to incur the disposition effect decreases during bull markets but increases during bear markets. Also, this paper finds that sophisticated investors are more prone to selling winning assets and holding on to losses.

Research limitations/implications

First, paper gains and losses are based on the highest and lowest prices of the month and not on the price at the moment the sale occurred. Second, this paper had access only to end-of-month information, not to actual daily trading records. Third, because the data set relates to individual investors who trade investment funds, this paper cannot determine whether firm size is associated with the disposition effect. Fourth, age may not necessarily be a proxy for investor experience, so one should interpret the lack of significance for age in terms of generational differences.

Practical implications

This paper demonstrates that the disposition effect is prevalent even among wealthier and more educated investors with delegated asset classes. This paper also presents evidence on the association between demographic characteristics and cognitive biases considering a liquidity-constrained, highly volatile and developing market.

Social implications

This paper demonstrates that gender is an important characteristic to understand cognitive biases and that investor sophistication may not necessarily be an attenuation factor for the disposition effect in a liquidity-constrained market.

Originality/value

This is the first study to analyse the role of demographic characteristics and risk taking to explain the disposition effect using real information at the individual level about Brazilian investors. It is also the first to analyse the intensity of cognitive biases during bull and bear markets in the Brazilian economy.

中文翻译：

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处置效应、人口统计和风险承担

目的

本研究旨在使用巴西个人投资者的数据调查人口特征、市场状况和风险承担与处置效应之间的关联。

设计/方法/方法

本研究使用了一个独特的数据集，其中包含巴西最大的资产管理公司之一提供的 2007 年 6 月至 2017 年 2 月的月度数据。本文计算实现收益的比例和实现损失的比例，看投资者是否产生处置效应。然后，本文进行逻辑回归以验证投资者的处置效应与人口统计学和投资组合特征之间的关联。本文根据市场条件（牛市或熊市）分析了认知偏差的普遍性，并包括按资产类别进行的回归作为稳健性检查。

发现

本文发现的证据表明，风险规避投资者更容易产生倾向效应，男性受试者较不倾向于这种认知偏差，年龄与倾向效应无关。本文观察到，发生处置效应的趋势在牛市期间减少，但在熊市期间增加。此外，本文还发现，老练的投资者更倾向于出售盈利资产并持有亏损。

研究限制/影响

首先，账面收益和损失基于当月的最高和最低价格，而不是基于销售发生时的价格。其次，这篇论文只能访问月末信息，而不是实际的每日交易记录。第三，由于数据集涉及交易投资基金的个人投资者，本文无法确定公司规模是否与处置效应相关。第四，年龄不一定是投资者经验的代表，因此应该从代际差异的角度解释年龄缺乏意义。

实际影响

本文表明，即使在拥有委托资产类别的更富有和受过更多教育的投资者中，处置效应也很普遍。考虑到流动性受限、高度波动和发展中的市场，本文还提供了人口特征与认知偏差之间关联的证据。

社会影响

本文表明，性别是理解认知偏差的一个重要特征，投资者的成熟度不一定是流动性受限市场中处置效应的衰减因素。

原创性/价值

这是第一项分析人口特征和风险承担的作用的研究，以使用有关巴西投资者的个人层面的真实信息来解释处置效应。它也是第一个分析巴西经济牛市和熊市期间认知偏差的强度。