| Summary: | 碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 92 === The tendency to hold losing stocks too long and to sell winning stocks too early has been labeled the disposition effect by Shefrin and Statman (1985). In this paper, we examine trades by option market investors for evidence of disposition effect. We use data from November 2002 to May 2003.
Through the empirical study, it appears that these option market investors indeed exhibit the disposition effect. The findings of this study are the same for aggregate level, individual level, and month level. By sellers and buyers in option market, there is evidence that the option sellers are negatively related to the disposition effect, but they had realized profits.
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