Disposition Effect on Equity Shares in Nigeria

Abstract

This study examined the disposition effect on equity shares in Nigeria based on the prospect theory and mental accounting. Specifically, this study was designed to assess the extent to which rising stock prices increase the sales of shares, as well as determining whether accounting information interaction with disposition effect has any relationship with the sale of stocks. To attain these objectives, research questions and hypotheses were formulated and tested. The study used Ex post-facto research design. Data were sourced from Nigerian Stock Exchange (NSE) official publication on daily volume of shares traded, Securities and Exchange Commission (SEC), and the Nigerian Bureau of Statistics (NBS). The population of this study comprised all listed companies in Nigerian Stock Exchange as at December 31, 2014 which have finished its obligation in delivering annual report for the year ended 2007 to 2014. The data collected were analysed using panel data regression analysis. To this end, we conducted descriptive statistics, correlation matrix and variance inflation test. Panel data regression corrected for Heteroscedasticity was also conducted to determine the effect of the independent variables in the models. It was empirically determined that, positive share price Returns have a negative influence on share prices in the Nigerian stock market in the period under review
Keywords: stock prices, sales of shares, disposition effect, Value Relevance, prospect theory