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

Andros Gregoriou

doi:10.1080/13504851.2015.1080795

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

Andros Gregoriou

University of Brighton

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	432-435
Number of pages	4
Journal	Applied Economics Letters
Volume	23
Issue number	6
DOIs	https://doi.org/10.1080/13504851.2015.1080795
Publication status	Published - 29 Sept 2015

Keywords

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

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Cite this

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KW - bid-ask spread

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

Abstract

Keywords

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