O’Connell, Paul G. J.; Teo, Melvyn - In: Journal of Financial and Quantitative Analysis 44 (2009) 01, pp. 155-188
Using a proprietary database of currency trades, this paper explores the effects of trading gains and losses on risk-taking among large institutional investors. We find that institutional investors, unlike individuals, are not prone to the disposition effect. Instead, institutions aggressively...