... their profits. We also examine whether individual investors suffer losses due to their disposition effect even after the bubble bursts. Major findings of this paper are as follows : First, we find that individual investors are actually shown to drive the bubbles in our full sample, whereas the burst...

... investment strategy by extracting some information from the unrealized capital gains. Disposition Effect Unrealized Capital Gains Expected Return Stock Index Futures Trading Strategy © 2014 Emerald Publishing Limited 2014 This article is published under the Creative Commons Attribution (CC...

... or as liquidity transactors also causes asymmetric volatility. Fourth, in some large ETFs, disposition effect of individual investors who are reluctant to sell when prices go down plays an important role in generating asymmetric volatility. © 2012 Emerald Publishing Limited 2012 This article is published...