Disposition effect in aggregate trading data

The disposition effect is unequivocally present in the individual's account level, and I investigate how the phenomenon can be measured at the stock level. I construct two metrics, original and normalised, to measure the realised tendency of gains or losses. I find that the disposition effect can be examined at the stock level in Korea. Using the normalised ratio, I could measure the disposition effect closer to the previous researches who used the account level data in Korea. The sampling data includes 89 common shares listed in the Korean stock market from 2011 until 2017. The results show that the disposition effect is present at the stock level in Korea. The bigger size of the disposition effect is observed with the upper stock trend, smaller capsizes, and drops of the benchmark index and the daily return of the stock itself.