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João Duque

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M.Özgür Seydibeyoğlu

Izmir Katip Celebi

Valeria Pettarin

Prof. Ali Bumajdad

Kuwait University

Mohammed Al-Yaari

King Faisal University

University of Perugia, Italy

Derval dos Santos Rosa

UFABC - Federal University of ABC

Angelo Mazzaglia

University of Viterbo

TUAN ANH NGUYEN

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Papers by João Duque

Biodegradable masterbatch blends: The implications on thermal conversion and recycling stream of polyethylene

Open journal of chemistry, Apr 4, 2020

During the past two decades, signifi cant advances have been made in the development of biodegrad... more During the past two decades, signifi cant advances have been made in the development of biodegradable polymeric materials for many applications such as in packaging and hygiene products [1,2]. Still, they accumulate in the environment as these materials are not readily biodegradable and because of their resistance to microbial degradation [3]. Among the many classes of polymers, are the blend of conventional plastic with different commercial biodegradable masterbatches [4,5] and the compostable plastics fully derived from renewable agricultural resources [6]. The blends intend to confer suitable performance during service life and short degradation times during subsequent disposal, and the compostables are supposed to break down to basic elemental components with the aid of microorganisms. If on the one hand, the biodegradable masterbatch can be blended with a wide range of polyolefi n materials to tailor a product with properties perfectly matched to the application, on the other, they break the material recycling cycle since they actually only fragment the plastics. The fragmented plastics arises the migration, via rivers to the ocean, of the often called "micro-plastics" [7]. Also, some conventional masterbatch enters the market as a mixture (iron, stearate, oxides, etc.) to design a polymer labeled biodegradable as well and their fragments are spread on the environment. In this case report, we are dealing with the implications of blending fossil LDPE with biodegradable masterbatches on pyrolysis. Two types of

Diffusion Patterns in Loyalty Programs

Advances in culture, tourism and hospitality research, Sep 15, 2016

Abstract This chapter aims to assess how effective loyalty programs are in contributing to retain... more Abstract This chapter aims to assess how effective loyalty programs are in contributing to retaining guests for hotels. The effectiveness is measured by means of a Bass model which allows the measurement of the diffusion patterns of adopters within potential adopters. The data used to perform this model allow the depiction of the effect of geographical localization over a time frame of three years. Results suggest that the loyalty card’s acceptance was measured from the internal and external parameters, based on the concept of diffusion theory. The results indicated a need for innovation of the loyalty program from 2019. Due to the existence of several hotels with different typologies in different countries, a segmentation of clients by nationalities is suggested with a “waterfall” strategy being placed in the hotel chain loyalty program.

Motivos para o lançamento de ofertas públicas iniciais em Portugal

Notas económicas, Jul 12, 2013

Evaluating market supervision through an overview of trading halts in the Portuguese stock market

Journal of Financial Regulation and Compliance, Dec 1, 2003

In this study we analyse security-trading halts in the Portuguese capital market to measure the g... more In this study we analyse security-trading halts in the Portuguese capital market to measure the goodness of trading halts imposed by market authorities as well as its timing ability on both interrupting and restarting trading. A sample of 54 equities whose trading has been halted from some hours to some days between 1992 and 1999 was collected. We used stock price returns, abnormal returns and volatility to compare and test the significance of differences for pre and post-halt periods. Firstly we consider the global sample to analyse stock abnormal returns and afterwards we split it into good and bad news halts. Concerning volatility, we applied t-test as a GARCH (1,1) model to complete volatility analysis. The GARCH(1,1) model has two additive dummy variables on the independent term of the mean and variance equations. We found that justification for trading halts tend to increase as event window size increases, suggesting that supervisory authorities tend to spot better the dominant changes (mainly for the latest years considered in this research). In fact, when very short time sampling periods are used we found weaker justifications for stock halting. We also found a GARCH (1,1) model useful and a more sensitive instrument on justifying trading halts. The opportunity of market authorities to interrupt trading seems to be increasing, but in terms of timing, we found that they seem to be most of the times retarded when imposing trading halts or anticipated when authorizing restart trading. Nevertheless when considering "good" news, although the halt tends to be late, the restart seems to be on time. Additionally we found that the methods under scope in this study are not redundant and should be jointly used by stock watch departments of supervision authorities for detecting trading under asymmetric information.

Porque é que as empresas portuguesas lançam ofertas públicas iniciais

Sobreajustamento no mercado de capitais português

Portuguese Journal of management Studies, 1996

Regulatory disclosure via the internet: does it make financial markets more efficient?

Journal of Regulatory Economics, Oct 19, 2007

In line with the regulatory framework of the majority of the European capital markets, the Portug... more In line with the regulatory framework of the majority of the European capital markets, the Portuguese Securities Market Commission imposes to security issuers the disclosure of any event that could influence share prices in a material way. These events are classified as "Price Sensitive Events". Through the analysis of market reaction to this kind of event, this study attempts to assess the appropriateness of this disclosure rule. Additionally, since the regulator defines its website as the appropriate manner to disseminate this publishable information through the market, we will also be providing evidence about the efficiency of this system.

Event Studies Methodology

SAGE Publications Ltd eBooks, Oct 17, 2014

Evaluating Market Supervision Through an Overview of Trading-Halt in the Portuguese Stock Market

Social Science Research Network, 2002

In 2001 she moved to CNVM where she has worked as a researcher in the Research Department develop... more

Exploring effects of hotel chain loyalty program

International Journal of Culture, Tourism and Hospitality Research, Sep 30, 2014

Purpose-The main purpose of this work is to evaluate the long-term effectiveness of a hotel's cha... more Purpose-The main purpose of this work is to evaluate the long-term effectiveness of a hotel's chain loyalty program from a behavioral perspective. Design/methodology/approach-A Dirichlet model was estimated to assess purchase frequency and hotel choice within one of the biggest hotel chains in Portugal. The sample comprises hotels where a loyalty program was implemented, with a total of 176,099 reservations. Data were extracted from the customer relationship management (CRM) systems of the hotel group. Findings-The results suggest that instead of being loyal to a certain hotel, customers are loyal to the branded hotel chain. As the hotels are all part of the branded group, this polygamy is not only accepted but also very welcome. Research limitations/implications-The level of penetration and purchase frequency of CRM was measured. Nevertheless, a thorough understanding of these will be critical for the success of this program. Practical implications-This research is a step toward assessing hotel chain competitiveness, by improving and suggesting segmented groups of brands/hotels and to induce cross-selling products accepting polygamous loyalty as the only way to sustain long-term relationships with customers. Originality/value-This is one of the few research studies, if not the only one, to assess loyalty with tangible indicators, such as purchase frequency. Further, the results suggest that loyalty programs are more effective if multiple options are available and as such, cross-selling is perhaps the only way to fix customers.

Avaliação de warrants próprios: estudo empírico do mercado português

Social diffusion and loyalty programs: a path to succeed

International Journal of Contemporary Hospitality Management, Jan 8, 2018

Purpose-The purpose of this study is to define a model of social technology diffusion, comprising... more Purpose-The purpose of this study is to define a model of social technology diffusion, comprising constructs that explain guests' likelihood of recommending their hotel loyalty program to their peers. Design/methodology/approach-The diffusion effect is explained by commitment-trust, satisfaction with user-to-user interactivity, satisfaction with user identifiability and word of mouth. A total of 2,812 usable responses were obtained through an online questionnaire sent to guests with two or more transactions with the loyalty program. Findings-The results suggest that commitment and trust and word of mouth are crucial to enact social diffusion. As such, hotel loyalty programs need to be leveraged through enacting social diffusion. Practical implications-Tourism and hospitality practitioners dealing with loyalty programs should create and post new trustworthy content that might be beneficial for the hotel loyalty program in their efforts to provide a more valuable experience for guests. Originality/value-The paper provides empirical evidence that the likelihood of sharing with other guests or the intention to belong to a hotel loyalty program community exists and then goes on to offer a range of possible responses based upon four relational mediators.

Portuguese Financial Corporations' Information Technology Adoption Patterns

Interfaces, Aug 1, 1999

Desvios em relação ao modelo de Black & Scholes: estudos relacionados à volatilidade dos ativos subjacentes às opções

… e III Encontro de Engenharia de …, 1999

The derivatives, or securities derived from other assets or securities, can be conceived in a var... more The derivatives, or securities derived from other assets or securities, can be conceived in a variety of forms, being classified basically in four groups: futures, options, swaps and products matched between derivatives and assets or securities, or only between derivatives. The central problem for the commercialisation of an option contract is the determination of its premium, or either, its price. Many mathematical models have been developed with the objective of calculating the premium to be paid in an option contract. One of these models was developed by Black & Scholes and has great acceptance in the financial market of options, due to its simplicity of calculation, and also for being independent of the level of risk of the investor. The objective of this article is to present that many research has been carried out aiming at detecting the deviations of the option values established in the capital market in comparison to the values that would be generated from the Black & Scholes model. One of these deviations, called smile effect, related to the variation of the implicit volatility of the underlying assets or securities, has been investigated in different contexts throughout the world, and will be investigated in the Brazilian capital market. These deviations indicate that the market systematically does not consider the theoretical option value, or, else, that the premises of the Black & Scholes model may be wrong.

O Guelhim ou as marcas são as nossas referências ou ode fúnebre temporã ao princípio do custo histórico

Ensaios de Homenagem a Rogério Fernandes Ferreira, 2001

О GUELHIM OU AS MARCAS SÃO AS NOSSAS REFERENCIAS OU ODE FÚNEBRE TEMPORA AO PRINCÍPIO DO CUSTO HIS... more

Sobrejustamento no Mercado de capitais português

Portuguese Journal of Management Studies, 1996

As matérias relacionadas com a eficiência do mercado de capitais português estão ainda numa fase ... more

New Evidences on the Disposition Effect of Individual Investors

4th Finance Conference of the …, 2006

Financial theory has identified the tendency of investors to hold loosing investments too long an... more Financial theory has identified the tendency of investors to hold loosing investments too long and sell winning ones too soon. This tendency was denominated the disposition effect by Shefrin and Statman (1985). This research provides evidence of the disposition effect on the Portuguese stock market, by studying a unique database that consists on trading records of 1496 individual investors. The preference for realising gains to losses was observed every month of the year and for all individual investors. Even at the end of the fiscal year, the disposition effect still holds (in spite of the existence of fiscal incentives for the so-called fiscal effect), as opposed to the evidence found in other markets. We also found that more sophisticated investors (classified on the basis of frequency of transaction, volume and portfolio value), are less prone to the disposition effect than less sophisticated ones. We also identified differences as to the disposition effect in terms of its intensity, when considering different market trends. In bull market periods, the disposition effect is even more evident than in bear markets and significant in both markets.

Maturity and volatility effects on UK smiles

Portuguese Economic Journal, 2003

The "smile effect" is a result of an empirical observation of the options' implied volatility wit... more The "smile effect" is a result of an empirical observation of the options' implied volatility with the same expiration date, across different exercise prices. However, its shape has been under discussion seeming to be dependent on the option underlying security. In this paper, and filling up a scarce empirical research on the topic, we used liquid equity options on 9 stocks traded on the London International Financial Futures and Options Exchange (LIFFE) between August 1990 and December 1991. We tested two different hypothesis for testing two different phenomena: (1) the increase of the "smile" as maturity approaches; (2) and the association between the smile and the volatility of the underlying stock. In order to estimate implied volatilities for unavailable exercise prices, we modelled the smile using cubic B-spline curves. We found empirical support for the smile intensification (the U-shape is more pronounced) as maturity approaches as well as when volatility rises. However, we found two major sources of disagreement with the literature on stochastic volatility models. First, as maturity approaches, out-of-themoney options' implied volatility tends to be higher than the implied volatility of in-the-money options. Second, as the volatility of the underlying asset increases, the implied volatility of in-the-money options tends to be higher than implied volatility of out-of-the-money options.

Using Tail Conditional Expectation for Capital Requirement Calculation of a General Insurance Undertaking

The VaR Modeling …, 2009

CHAPTER 10 Using Tail Conditional Expectation for Capital Requirement Calculation of a General In... more

Are All Individual Investors Equally Prone to the Disposition Effect All the Time? New Evidences from a Small Market

SSRN Electronic Journal, 2008

This paper investigates the disposition effect on the Portuguese stock market, on the basis of a ... more This paper investigates the disposition effect on the Portuguese stock market, on the basis of a unique database that consists of trading records of 1496 individual investors. We found strong evidence of the disposition effect, studied on the basis of trades, volume and value traded. This preference for realizing gains to losses was observed every month of the year and globally for all individual investors. Even at the end of the fiscal year, the disposition effect still holds, as opposed to the evidence found in other markets. We also studied the disposition effect related to market tendency. By dividing the data period into a bull and a bear period, we found evidence of disposition effect for both periods, but with differences in terms of its intensity. In the bull market period, the disposition effect is even more evident than in the bear market. We believe these results can be explained with behavioral reasons. We also investigated the disposition effect related to proxies of investors' sophistication. We divided investors on the basis of the trading frequency, volume of transactions and portfolio value and found evidence that investors in the higher percentiles are less prone to the disposition effect than the ones in the lower percentiles, even though both exhibit evidence of this effect.

Biodegradable masterbatch blends: The implications on thermal conversion and recycling stream of polyethylene

Open journal of chemistry, Apr 4, 2020

During the past two decades, signifi cant advances have been made in the development of biodegrad... more During the past two decades, signifi cant advances have been made in the development of biodegradable polymeric materials for many applications such as in packaging and hygiene products [1,2]. Still, they accumulate in the environment as these materials are not readily biodegradable and because of their resistance to microbial degradation [3]. Among the many classes of polymers, are the blend of conventional plastic with different commercial biodegradable masterbatches [4,5] and the compostable plastics fully derived from renewable agricultural resources [6]. The blends intend to confer suitable performance during service life and short degradation times during subsequent disposal, and the compostables are supposed to break down to basic elemental components with the aid of microorganisms. If on the one hand, the biodegradable masterbatch can be blended with a wide range of polyolefi n materials to tailor a product with properties perfectly matched to the application, on the other, they break the material recycling cycle since they actually only fragment the plastics. The fragmented plastics arises the migration, via rivers to the ocean, of the often called "micro-plastics" [7]. Also, some conventional masterbatch enters the market as a mixture (iron, stearate, oxides, etc.) to design a polymer labeled biodegradable as well and their fragments are spread on the environment. In this case report, we are dealing with the implications of blending fossil LDPE with biodegradable masterbatches on pyrolysis. Two types of

Diffusion Patterns in Loyalty Programs

Advances in culture, tourism and hospitality research, Sep 15, 2016

Abstract This chapter aims to assess how effective loyalty programs are in contributing to retain... more Abstract This chapter aims to assess how effective loyalty programs are in contributing to retaining guests for hotels. The effectiveness is measured by means of a Bass model which allows the measurement of the diffusion patterns of adopters within potential adopters. The data used to perform this model allow the depiction of the effect of geographical localization over a time frame of three years. Results suggest that the loyalty card’s acceptance was measured from the internal and external parameters, based on the concept of diffusion theory. The results indicated a need for innovation of the loyalty program from 2019. Due to the existence of several hotels with different typologies in different countries, a segmentation of clients by nationalities is suggested with a “waterfall” strategy being placed in the hotel chain loyalty program.

Motivos para o lançamento de ofertas públicas iniciais em Portugal

Notas económicas, Jul 12, 2013

Evaluating market supervision through an overview of trading halts in the Portuguese stock market

Journal of Financial Regulation and Compliance, Dec 1, 2003

In this study we analyse security-trading halts in the Portuguese capital market to measure the g... more In this study we analyse security-trading halts in the Portuguese capital market to measure the goodness of trading halts imposed by market authorities as well as its timing ability on both interrupting and restarting trading. A sample of 54 equities whose trading has been halted from some hours to some days between 1992 and 1999 was collected. We used stock price returns, abnormal returns and volatility to compare and test the significance of differences for pre and post-halt periods. Firstly we consider the global sample to analyse stock abnormal returns and afterwards we split it into good and bad news halts. Concerning volatility, we applied t-test as a GARCH (1,1) model to complete volatility analysis. The GARCH(1,1) model has two additive dummy variables on the independent term of the mean and variance equations. We found that justification for trading halts tend to increase as event window size increases, suggesting that supervisory authorities tend to spot better the dominant changes (mainly for the latest years considered in this research). In fact, when very short time sampling periods are used we found weaker justifications for stock halting. We also found a GARCH (1,1) model useful and a more sensitive instrument on justifying trading halts. The opportunity of market authorities to interrupt trading seems to be increasing, but in terms of timing, we found that they seem to be most of the times retarded when imposing trading halts or anticipated when authorizing restart trading. Nevertheless when considering "good" news, although the halt tends to be late, the restart seems to be on time. Additionally we found that the methods under scope in this study are not redundant and should be jointly used by stock watch departments of supervision authorities for detecting trading under asymmetric information.

Porque é que as empresas portuguesas lançam ofertas públicas iniciais

Sobreajustamento no mercado de capitais português

Portuguese Journal of management Studies, 1996

Regulatory disclosure via the internet: does it make financial markets more efficient?

Journal of Regulatory Economics, Oct 19, 2007

In line with the regulatory framework of the majority of the European capital markets, the Portug... more In line with the regulatory framework of the majority of the European capital markets, the Portuguese Securities Market Commission imposes to security issuers the disclosure of any event that could influence share prices in a material way. These events are classified as "Price Sensitive Events". Through the analysis of market reaction to this kind of event, this study attempts to assess the appropriateness of this disclosure rule. Additionally, since the regulator defines its website as the appropriate manner to disseminate this publishable information through the market, we will also be providing evidence about the efficiency of this system.

Event Studies Methodology

SAGE Publications Ltd eBooks, Oct 17, 2014

Evaluating Market Supervision Through an Overview of Trading-Halt in the Portuguese Stock Market

Social Science Research Network, 2002

In 2001 she moved to CNVM where she has worked as a researcher in the Research Department develop... more

Exploring effects of hotel chain loyalty program

International Journal of Culture, Tourism and Hospitality Research, Sep 30, 2014

Purpose-The main purpose of this work is to evaluate the long-term effectiveness of a hotel's cha... more Purpose-The main purpose of this work is to evaluate the long-term effectiveness of a hotel's chain loyalty program from a behavioral perspective. Design/methodology/approach-A Dirichlet model was estimated to assess purchase frequency and hotel choice within one of the biggest hotel chains in Portugal. The sample comprises hotels where a loyalty program was implemented, with a total of 176,099 reservations. Data were extracted from the customer relationship management (CRM) systems of the hotel group. Findings-The results suggest that instead of being loyal to a certain hotel, customers are loyal to the branded hotel chain. As the hotels are all part of the branded group, this polygamy is not only accepted but also very welcome. Research limitations/implications-The level of penetration and purchase frequency of CRM was measured. Nevertheless, a thorough understanding of these will be critical for the success of this program. Practical implications-This research is a step toward assessing hotel chain competitiveness, by improving and suggesting segmented groups of brands/hotels and to induce cross-selling products accepting polygamous loyalty as the only way to sustain long-term relationships with customers. Originality/value-This is one of the few research studies, if not the only one, to assess loyalty with tangible indicators, such as purchase frequency. Further, the results suggest that loyalty programs are more effective if multiple options are available and as such, cross-selling is perhaps the only way to fix customers.

Avaliação de warrants próprios: estudo empírico do mercado português

Social diffusion and loyalty programs: a path to succeed

International Journal of Contemporary Hospitality Management, Jan 8, 2018

Purpose-The purpose of this study is to define a model of social technology diffusion, comprising... more Purpose-The purpose of this study is to define a model of social technology diffusion, comprising constructs that explain guests' likelihood of recommending their hotel loyalty program to their peers. Design/methodology/approach-The diffusion effect is explained by commitment-trust, satisfaction with user-to-user interactivity, satisfaction with user identifiability and word of mouth. A total of 2,812 usable responses were obtained through an online questionnaire sent to guests with two or more transactions with the loyalty program. Findings-The results suggest that commitment and trust and word of mouth are crucial to enact social diffusion. As such, hotel loyalty programs need to be leveraged through enacting social diffusion. Practical implications-Tourism and hospitality practitioners dealing with loyalty programs should create and post new trustworthy content that might be beneficial for the hotel loyalty program in their efforts to provide a more valuable experience for guests. Originality/value-The paper provides empirical evidence that the likelihood of sharing with other guests or the intention to belong to a hotel loyalty program community exists and then goes on to offer a range of possible responses based upon four relational mediators.

Portuguese Financial Corporations' Information Technology Adoption Patterns

Interfaces, Aug 1, 1999

Desvios em relação ao modelo de Black & Scholes: estudos relacionados à volatilidade dos ativos subjacentes às opções

… e III Encontro de Engenharia de …, 1999

The derivatives, or securities derived from other assets or securities, can be conceived in a var... more The derivatives, or securities derived from other assets or securities, can be conceived in a variety of forms, being classified basically in four groups: futures, options, swaps and products matched between derivatives and assets or securities, or only between derivatives. The central problem for the commercialisation of an option contract is the determination of its premium, or either, its price. Many mathematical models have been developed with the objective of calculating the premium to be paid in an option contract. One of these models was developed by Black & Scholes and has great acceptance in the financial market of options, due to its simplicity of calculation, and also for being independent of the level of risk of the investor. The objective of this article is to present that many research has been carried out aiming at detecting the deviations of the option values established in the capital market in comparison to the values that would be generated from the Black & Scholes model. One of these deviations, called smile effect, related to the variation of the implicit volatility of the underlying assets or securities, has been investigated in different contexts throughout the world, and will be investigated in the Brazilian capital market. These deviations indicate that the market systematically does not consider the theoretical option value, or, else, that the premises of the Black & Scholes model may be wrong.

O Guelhim ou as marcas são as nossas referências ou ode fúnebre temporã ao princípio do custo histórico

Ensaios de Homenagem a Rogério Fernandes Ferreira, 2001

О GUELHIM OU AS MARCAS SÃO AS NOSSAS REFERENCIAS OU ODE FÚNEBRE TEMPORA AO PRINCÍPIO DO CUSTO HIS... more

Sobrejustamento no Mercado de capitais português

Portuguese Journal of Management Studies, 1996

As matérias relacionadas com a eficiência do mercado de capitais português estão ainda numa fase ... more

New Evidences on the Disposition Effect of Individual Investors

4th Finance Conference of the …, 2006

Financial theory has identified the tendency of investors to hold loosing investments too long an... more Financial theory has identified the tendency of investors to hold loosing investments too long and sell winning ones too soon. This tendency was denominated the disposition effect by Shefrin and Statman (1985). This research provides evidence of the disposition effect on the Portuguese stock market, by studying a unique database that consists on trading records of 1496 individual investors. The preference for realising gains to losses was observed every month of the year and for all individual investors. Even at the end of the fiscal year, the disposition effect still holds (in spite of the existence of fiscal incentives for the so-called fiscal effect), as opposed to the evidence found in other markets. We also found that more sophisticated investors (classified on the basis of frequency of transaction, volume and portfolio value), are less prone to the disposition effect than less sophisticated ones. We also identified differences as to the disposition effect in terms of its intensity, when considering different market trends. In bull market periods, the disposition effect is even more evident than in bear markets and significant in both markets.

Maturity and volatility effects on UK smiles

Portuguese Economic Journal, 2003

The "smile effect" is a result of an empirical observation of the options' implied volatility wit... more The "smile effect" is a result of an empirical observation of the options' implied volatility with the same expiration date, across different exercise prices. However, its shape has been under discussion seeming to be dependent on the option underlying security. In this paper, and filling up a scarce empirical research on the topic, we used liquid equity options on 9 stocks traded on the London International Financial Futures and Options Exchange (LIFFE) between August 1990 and December 1991. We tested two different hypothesis for testing two different phenomena: (1) the increase of the "smile" as maturity approaches; (2) and the association between the smile and the volatility of the underlying stock. In order to estimate implied volatilities for unavailable exercise prices, we modelled the smile using cubic B-spline curves. We found empirical support for the smile intensification (the U-shape is more pronounced) as maturity approaches as well as when volatility rises. However, we found two major sources of disagreement with the literature on stochastic volatility models. First, as maturity approaches, out-of-themoney options' implied volatility tends to be higher than the implied volatility of in-the-money options. Second, as the volatility of the underlying asset increases, the implied volatility of in-the-money options tends to be higher than implied volatility of out-of-the-money options.

Using Tail Conditional Expectation for Capital Requirement Calculation of a General Insurance Undertaking

The VaR Modeling …, 2009

CHAPTER 10 Using Tail Conditional Expectation for Capital Requirement Calculation of a General In... more

Are All Individual Investors Equally Prone to the Disposition Effect All the Time? New Evidences from a Small Market

SSRN Electronic Journal, 2008

This paper investigates the disposition effect on the Portuguese stock market, on the basis of a ... more This paper investigates the disposition effect on the Portuguese stock market, on the basis of a unique database that consists of trading records of 1496 individual investors. We found strong evidence of the disposition effect, studied on the basis of trades, volume and value traded. This preference for realizing gains to losses was observed every month of the year and globally for all individual investors. Even at the end of the fiscal year, the disposition effect still holds, as opposed to the evidence found in other markets. We also studied the disposition effect related to market tendency. By dividing the data period into a bull and a bear period, we found evidence of disposition effect for both periods, but with differences in terms of its intensity. In the bull market period, the disposition effect is even more evident than in the bear market. We believe these results can be explained with behavioral reasons. We also investigated the disposition effect related to proxies of investors' sophistication. We divided investors on the basis of the trading frequency, volume of transactions and portfolio value and found evidence that investors in the higher percentiles are less prone to the disposition effect than the ones in the lower percentiles, even though both exhibit evidence of this effect.