Günter Strobl from the University of North Carolina, Chapel Hill, is giving a VGSF research seminar on "Time-Varying Information Asymmetry and the Disposition Effect" on FRIDAY, May 25th, from 15:30 to 17:00 in HS 7 at the BWZ, Brünnerstrasse 72, 1210 Wien. See the VGSF webpage (Activities & Events --> Research Seminars) for a map of the location, the paper to download (soon) and this term's entire schedule of seminars. Please find the paper's abstract below. Best, Michael Halling Abstract Economists have long been puzzled by the tendency of investors to sell winning investments too soon and hold losing investments too long. Several behavioral explanations for this phenomenon, known as the disposition effect, have been advanced. This paper demonstrates that the disposition effect is not intrinsically at odds with rational behavior. We present a rational expectations model with asymmetrically informed investors and show that, for some parameterizations, trading strategies as predicted by the disposition effect are in fact an optimal response to dynamic changes in the information structure. We provide conditions under which the disposition effect holds and derive new empirical implications relating it to public news releases, trading volume, and stock price dynamics.