The Disposition Effect in Mutual Funds' Trades: The Role of Managers' Endurance
51 Pages Posted: 24 Jan 2019 Last revised: 17 Apr 2020
Date Written: April 17, 2020
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: Suggested Citation