The Disposition Effect in Mutual Funds' Trades: The Role of Managers' Endurance

51 Pages Posted: 24 Jan 2019 Last revised: 17 Apr 2020

See all articles by Arash Dayani

Arash Dayani

University of Oregon, Charles H. Lundquist School of Business, Department of Finance

Sima Jannati

University of Missouri-Columbia

Date Written: April 17, 2020

Abstract

We use long-distance running as a quasi-natural experiment and study whether endurance activities affect fund managers' trading behavior. We find that funds with a larger share of marathon runner managers are less prone to the disposition effect. A higher representation of runner managers also predicts larger risk-adjusted excess returns. To account for endogeneity, we use the annual number of marathon events in funds’ states as an instrument for the proportion of runner managers and find a consistent outcome. Overall, these results provide behavioral evidence for the disposition effect among fund managers.

Keywords: Disposition effect; endurance; distance runners; mutual fund; performance

JEL Classification: G11, G20, G41

Suggested Citation

Dayani, Arash and Jannati, Sima, The Disposition Effect in Mutual Funds' Trades: The Role of Managers' Endurance (April 17, 2020). Available at SSRN: https://ssrn.com/abstract=3315001 or http://dx.doi.org/10.2139/ssrn.3315001

Arash Dayani

University of Oregon, Charles H. Lundquist School of Business, Department of Finance ( email )

Eugene, OR
United States

Sima Jannati (Contact Author)

University of Missouri-Columbia ( email )

401 Cornell Hall
COLUMBIA, MO 65211
United States

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