PT - JOURNAL ARTICLE AU - William N. Goetzmann AU - Massimo Massa TI - Disposition Matters AID - 10.3905/jot.2008.705642 DP - 2008 Mar 31 TA - The Journal of Trading PG - 68--90 VI - 3 IP - 2 4099 - https://pm-research.com/content/3/2/68.short 4100 - https://pm-research.com/content/3/2/68.full AB - 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