Efeito disposição: propensão à venda de investidores individuais e
            institucionais

Prates, Wlademir Ribeiro; Costa, Newton C. A. da; Santos, André Portela

doi:10.5935/0034-7140.20190005

Cited by 7 publications

(14 citation statements)

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“…This result is consistent with the theoretical developments (Kurov, 2010;Silvia & Iqbal, 2011;Vuchelen, 2004) and with recent empirical and experimental research (Cohen & Kudryavtsev, 2012;Menkhoff & Rebitzky, 2008;Zhang, 2019). Understanding this relationship is hugely desirable in Brazil, whose stock market is undeniably affected by investor sentiment (Lucchesi et al, 2015;Piccoli et al, 2018;Prates et al, 2019;Santana et al, 2020;Xavier & Machado, 2017;Yoshinaga & Castro, 2012).…”

Section: Discussionsupporting

confidence: 88%

“…In addition, behavioral biases are highly pronounced in individual investors (Prates et al, 2019) and in equity fund managers (Lucchesi et al, 2015), who are strongly prone to the disposition effect, unlike institutional investors, whose behavior is inconsistent with this effect (Prates et al, 2019). Finally, some evidence indicates that investor sentiment also affects earnings management and, therefore, firm-level decisions.…”

Section: Literature Reviewmentioning

confidence: 99%

“…In Brazil, the research in this area is still recent and remains in its infancy. The national literature has documented evidence on investor sentiment and its relationship with stock returns (Yoshinaga & Castro, 2012), anomalies (Xavier & Machado, 2017), risk and return (Piccoli et al, 2018), earnings management (Santana et al, 2020), and the disposition effect (Lucchesi et al, 2015;Prates et al, 2019), but it is not yet clear what affects Brazilian investor sentiment. According to Yoshinaga and Castro (2012), more recent studies try to provide more explanations for the influence of sentiment on financial markets.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Investor sentiment, economic uncertainty, and monetary policy in Brazil,

Marschner

Ceretta

2021

Rev. contab. finanç.

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The aim of this study is to analyze how economic uncertainty and monetary policy affect investor sentiment in Brazil. Investor sentiment is an important element in the finance, economics, and accounting literature and its impact on financial markets is widely documented. However, understanding the variables that affect it remains an important challenge, and this research seeks to explore this gap within the Brazilian context. The study provides initial evidence regarding the impact of economic uncertainty and monetary policy on investor sentiment in Brazil. The findings documented here provide theoretical, managerial, and social contributions, with a possible impact on the areas of finance, economics, and accounting. Monthly data were used relating to four mechanisms of transmission of economic uncertainty and of monetary policy (interest rate, exchange rate, inflation rate, economic uncertainty index) and to the consumer confidence index as a proxy for investor sentiment (covering the period from January of 2006 to March of 2020). An autoregressive distributed lag model was estimated to capture short- and long-term relationships between the variables. The results indicate that investor sentiment is affected by economic uncertainty and by the main mechanisms of transmission of monetary policy to different extents and in the different time horizons. The evidence suggests that investors, policymakers, and monetary authorities should consider sentiment as a signal, whether for altering investment portfolios or for anticipating economic trends. It also provides support for focusing on economic and monetary policy in the National Financial Education Strategy (Estratégia Nacional de Educação Financeira - ENEF) recently adopted in Brazil

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Section: Discussionsupporting

confidence: 88%

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Investor sentiment, economic uncertainty, and monetary policy in Brazil,

Marschner

Ceretta

2021

Rev. contab. finanç.

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“…In accordance, da Costa, Macedo, Zindel, and Arruda (2007) and da Costa et al (2013) perform simulations on Brazilian data to analyse whether investing experience can dampen the disposition effect and demonstrate that experienced investors are less affected by this cognitive bias. Using real data on more than 60 million transactions from January 2012 to October 2014, Prates, da Costa, and Santos (2019) present similar evidence. Seasholes and Feng (2005) also demonstrate that investor sophistication and trading experience eliminate the reluctance to realize losses.…”

Section: Risk Aversion Beliefs and Preferencesmentioning

confidence: 58%

“…Prates, da Costa, and Santos (2019) analyse 60 million trading records in the Brazilian Stock Exchange and demonstrate that investors with lower average returns are likely to be influenced by the disposition effect while individual investors are more likely to realize small gains than institutional investors. They follow the methodology of Kaustia (2010), who demonstrates that the propensity to sell a stock may be a function of the asset price and the capital gain/loss over various ranges, which can contradict prospect theory.…”

Section: Delegation and Portfolio Characteristicsmentioning

confidence: 99%

Disposition effect, demographics and risk taking

Oreng

Yoshinaga

Eid

2021

RAUSP

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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.

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Untitled

2023

BBR

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This study investigates the disposition effect with regard to Brazilian investors, with focus on the year 2020. The database is composed by more than 12,000 trades by 274 investors. We follow the method of Odean (1998) to estimate the proportions of gains and losses realized and test the null hypothesis of equality of these proportions in each portfolio. The results suggest that Brazilian investors behave in line with the disposition effect. They sell winning stocks too early and hold losing stocks too long. A stock that is gaining value is more likely to be sold from day to day compared to a stock that is losing value. The disposition effect was not found in March, which suggests that investors employed a loss-limit during periods of market stress, no matter if the stock went up or down.

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Efeito disposição: propensão à venda de investidores individuais e institucionais

Cited by 7 publications

References 0 publications

Investor sentiment, economic uncertainty, and monetary policy in Brazil,

Investor sentiment, economic uncertainty, and monetary policy in Brazil,

Disposition effect, demographics and risk taking

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