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A meta-analysis of disposition effect experiments

Author

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  • Stephen L Cheung
Abstract
This paper reports a meta-analysis of the disposition effect – the reluctance to liquidate losing investments – in three standard experimental environments in which this behaviour is normatively a mistake. Under baseline conditions, the literature finds that investors are around 10% more willing to sell winning compared to losing assets, despite optimal choice dictating the opposite. In treatment tests of interventions to debias the disposition effect, the meta-analytic effect size implies slightly over a one-half standard deviation reduction in the bias. There is little evidence of selective reporting of the baseline disposition effect, but stronger evidence of bias in reporting treatment effects.

Suggested Citation

  • Stephen L Cheung, 2024. "A meta-analysis of disposition effect experiments," Working Papers 2024-02, University of Sydney, School of Economics.
    • Handle: RePEc:syd:wpaper:2024-02
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    File URL: http://econ-wpseries.com/2024/202402.pdf
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    References listed on IDEAS

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    Cited by:

    1. Stephen L Cheung & Nathan Rogut, 2024. "Portfolio framing and diversification in a disposition effect experiment," Working Papers 2024-17, University of Sydney, School of Economics.

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    Keywords

    behavioural finance; disposition effect; meta-analysis;
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