I test the disposition effect, the tendency of investors to hold losing investments too long and sell winning investments too soon, by analysing trading records for 10,000 accounts at a large discount brokerage house. These investors demonstrate a strong preference for realising winners rather than losers. Their behaviour does not appear to be motivated by a desire to rebalance portfolios, or to avoid the higher trading costs of low price stocks. Nor is it justified by subsequent portfolio performance. For taxable investments, it is sub-optimal and leads to lower after-tax returns. Tax-motivated selling is most evident in December.