%0 Journal Article %A William N. Goetzmann %A Massimo Massa %T Disposition Matters %B Volume, Volatility, and Price Impact of a Behavioral Bias %D 2008 %R 10.3905/jot.2008.705642 %J The Journal of Trading %P 68-90 %V 3 %N 2 %X The disposition effect is the well-known tendency to ride losers and sell winners. A panel of individual investor trading records allows examination of the differences in price, volume, and volatility attributable to the disposition effect. When disposition-prone investors increase their holdings in a stock, the volatility, volume, and the return of the stock all drop, as theory would predict. Exposure to a portfolio of stocks held by disposition-prone investors explains cross-sectional differences in daily returns, controlling for other factors and characteristics. In other words, disposition matters to individual and aggregate stock price dynamics.TOPICS: Volatility measures, factor-based models %U https://jot.pm-research.com/content/iijtrade/3/2/68.full.pdf