A simple behaviour model of investor holding periods under the presence of trading costs

Research output: Contribution to journalArticle

Abstract

We develop a simple behavioural model where changes in investor holding periods of stocks are a function of variations in levels and shocks of trading costs. We construct a value weighted portfolio of all stocks listed on the London Stock Exchange, over the time period of 1990–2014 in order to empirical examine the model. We establish that levels have a greater impact then unanticipated trading costs on investor holding periods. Our article outlines the importance of trading costs in determining investor portfolio construction.
Original languageEnglish
Pages (from-to)432-435
Number of pages4
JournalApplied Economics Letters
Volume23
Issue number6
DOIs
Publication statusPublished - 29 Sep 2015

Keywords

  • Holding period
  • bid-ask spread
  • behavioural model
  • G10
  • G11
  • C22.

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