Does Gender and Age Affect Investor Performance and the Disposition Effect?

Abstract

The focus of the paper is on individual investor trading characteristics, the disposition effect bias and its links to performance. The analysis is based on the individual investor subsample of the complete transaction data of the Estonian stock market. The Cox proportional hazard model, along with PGR-PLR analysis, is used to measure the disposition effect and trading intensity. I show that different gender and age groups have different trading intensity and security holding periods, which realise in differences in the disposition effect bias and performance. Portfolios of older age groups and female investors perform better. Lower portfolio returns are connected with a higher level of trading intensity, shorter holding periods and a higher level of the disposition effect bias.