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.