This project will help you gain understanding of Disposition effect The term disposition effect refers to investors' indlination to realize gains more quickly than losses Please read the following paper and finish the objectives below A Frazzini The Disposition Effect and Underreaction to News. The Journal of Finance, 614)2017 2046, August 2006 The essential idea of the trading strategy constructed in this paper is to buy Isell astock in response to pasitive (respectively, negative) news if mast shareholders face a capital gain [respectively, loss). Data on mutual fund holdings is used to estimate the capital gains or losses faced by most shaneholders.
Objective 1: Implement the algorithms and reproduce the results in the paper.
objective 2: Extend the paper's results to include the market data until the end of 2009.