Disposition Effect on Ethereum: Evidence from Public On-Chain and Exchange Data; 2020-2024

Abstract

Aim: This study examines whether and how the disposition effect shapes Ethereum investors’ selling decisions. It asks whether investors are more likely to realize gains than losses, whether this asymmetry strengthens during high-volatility periods, and whether it weakens around major protocol upgrades, including the Merge, Shapella, and Dencun.

Methodology: The study builds a high-frequency address-day panel for 2020–2024 using public onchain data and labeled centralized-exchange deposit clusters as conservative proxies for sell decisions. Rolling cost bases are reconstructed under FIFO and value-weighted rules, and unrealized gains and losses are linked to realized sales through discrete-time logit and Cox hazard models. The design also includes event windows and robustness checks.

Findings: The framework is designed to identify three mechanisms: asymmetric realization of gains over losses, stronger gain realization under high volatility, and attenuation around major protocolupgrade events.

Implications: The study offers a transparent design for analyzing behavioral bias in crypto-asset markets with verifiable blockchain data. It is relevant to exchanges, regulators, and market designers concerned with investor behavior and risk management.

Originality/value: The article extends behavioral finance to Ethereum by using public ledger data rather than brokerage records and by integrating behavioral bias, volatility regimes, and protocol events in one framework.