The disposition effect is the well-known tendency to ride losers and sell winners. A panel of individual investor trading records allows examination of the differences in price, volume, and volatility attributable to the disposition effect. When disposition-prone investors increase their holdings in a stock, the volatility, volume, and the return of the stock all drop, as theory would predict. Exposure to a portfolio of stocks held by disposition-prone investors explains cross-sectional differences in daily returns, controlling for other factors and characteristics. In other words, disposition matters to individual and aggregate stock price dynamics. <b>TOPICS:</b>In portfolio management, portfolio construction, statistical methods