We track the trade-by-trade transaction histories of futures traders over a period of 33 months and separately analyze their tendency to offset their positions to realize gains and losses on the Taiwan Futures Exchange (TAIFEX). We demonstrate that there exist great variations among the traders in the disposition effect. Specifically, we demonstrate how a trader’s innate characteristics, such as gender and age, as well as external microstructure factor, such as the product traded, are statistically significant in explaining the variations in the disposition effect. We show that women and mature traders, compared with their male and younger counterparts, exhibit a higher tendency of the disposition effect. We also show that the effect is stronger among traders who trade the financial sector futures contract than those who trade the electronic sector futures contract. These results contribute to the behavioral finance in that they offer further explanation on the disposition effect. They also add to the evidence that microstructure matters in explaining behavioral variations among investors. 1 I
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