finance brown bag for helpful comments. Any remaining errors are ours. We are grateful to Jussi Keppo

Using a large sample of individual investor records over a nine-year period, we analyze both the disposition effect and trading performance at the individual level to determine whether and how investors learn from their trading experience. We find that performance improves and the disposition effect declines as investors become more experienced, suggesting that investors learn by trading. A substan-tial part of this learning occurs when investors stop trading after learning about their poor ability rather than staying in the sample and improving their abil-ity over time. By ignoring investor attrition, the existing literature significantly overestimates how quickly investors become better at trading. Our learning es-timates suggest that investors do not learn fast enough to prevent behavioral biases from affecting asset prices