Choe, Hyuk; Eom, Yunsung - In: Journal of Futures Markets 29 (2009) 6, pp. 496-522
This study examines whether the disposition effect (DE), i.e., the tendency of investors to ride losses and realize gains, exists in the Korean stock index futures market. Using a unique database, we find strong evidence for the DE and explain this in terms of investor characteristics. We also...