The disposition effect in the absence of taxes

- I measure household investment decisions in a tax-free setting.
- The disposition effect is unambiguously present.
- Seasonality, such as the December effect, appears absent.
- The disposition effect correlates positively with poor investment performance.
- Though household preferences are unknown, losses cannot be explained by tax benefits.

I measure household investment decisions undertaken in a setting that is free from investment taxes. The disposition effect is unequivocally present, but any seasonal impact of tax-loss selling is absent. There is evidence that the disposition effect correlates positively with inferior risk-adjusted investment performance. Although household preferences are unknown, losses cannot be explained by tax benefits.