The disposition effect is known as the reluctance of investors to realize losses and their eagerness to realize gains. The aim of this research is to examine the impact of the disposition effect at the aggregate (market) level. In order to limit the number of factors affecting the selling decision on the share exchange, the study was conducted on Initial Public Offerings (IPO). The main factor determining the volume of turnover on the first trading day should be the initial rate of return. The results show that a higher turnover volume is associated with a positive initial rate of return, while a lower turnover volume is associated with a negative initial rate of return. This phenomenon can be explained by the disposition effect. The research was conducted on the emerging market in Poland. The Warsaw Stock Exchange (WSE), in 2006, was the second largest IPO market in Europe, after London.

Investors in shares constantly make decisions as to buy, sell or hold. It turns out that they do not always act as predicted by the neoclassical theory of finance. Over the last 40 years, a large number of behavioral inclinations affecting the process of financial decision making have been documented. One of them is the disposition effect.

The disposition effect was described as the "effect, whereby investors are anxious to sell their winners, but reluctant to sell their losers" (Shefrin 2000, p. 419) or "the tendency to hold losers too long and sell winners too soon" (Odean 1998, p. 1775). The disposition effect can be considered as an implication of the prospect theory of Kahneman and Tversky (1979), which says that investors exhibit an S-shaped valuation function (Figure 1). Investors avoid risk in the case of potential gains and seek risk in the case of potential losses.

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