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Using a novel brokerage dataset covering individual investors’ login and stock trading behavior, we investigate the severity of the disposition effect as a function of attention. Our results show that more attentive investors trade less in line with the disposition effect, suggesting a comparative advantage in incorporating information into financi...
Contexts in source publication
Context 1
... results suggest that our findings are stronger among potentially more speculative portfolios. Second, our findings remain valid when we consider a limited sample of clients, who only traded in stocks throughout the entire sample period ( Figure 4 and Table 6). Hence, we rule out that the investors' attention allocation was induced by nonstock investments. ...
Context 2
... errors are clustered at the investor and stock level. The top panel of Figure 4 reports the average predicted probabilities of selling a winning or a losing stock position, as a function of an investor's financial attention, expressed in deciles. The probabilities are implied from the logistic regression described in Section 4, where the dependent variable takes the value of 1 if an investor sells a stock position on a day when he sells at least some stock, and 0 if otherwise. ...
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