Measuring the disposition effect

Despite hundreds of papers confirming the existence disposition effect, too little attention has been devoted to prevailing arguments on choice a given method measure it. This paper fills this gap and compares different measurement approaches. First, based empirical simulation-based data, I show how results may differ across measures depending market trends but, more importantly, frequency at which investors make their decisions. Second, pitfalls in analyzing cross-sectional differences effect are illustrated discussed. Finally, clearly that hazard models quite appropriate measuring any investor, be it day trader or typical retail investor who monitors his portfolio infrequently.