Add to ORKGWe use data on actual holding periods for all investors in a stock market over a 10-year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown to be important determinants of the holding period decision of individual investors. Average holding periods differ across different investor types. Turnover is an imperfect proxy for holding period. While both turnover and spread are related to stock returns, holding period is not.Market microstructure; Holding period; duration
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000...
We show evidence of a contemporaneous relation between stock market liquidity and the business cycle...
We use data on actual holding periods for all investors in a stock market over a 10 year period to i...
We use data on actual holding periods for all investors in a stock market over a 10-year period to i...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000...
Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000...
ABSTRACT Assuming a utility function, which is non-separable in money and consumption, we derive ...
This thesis systematically explores the relationship between investor holding behavior and stock as ...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
We show evidence of a contemporaneous relation between stock market liquidity and the business cycle...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000...
We show evidence of a contemporaneous relation between stock market liquidity and the business cycle...
We use data on actual holding periods for all investors in a stock market over a 10 year period to i...
We use data on actual holding periods for all investors in a stock market over a 10-year period to i...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000...
Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000...
ABSTRACT Assuming a utility function, which is non-separable in money and consumption, we derive ...
This thesis systematically explores the relationship between investor holding behavior and stock as ...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
We show evidence of a contemporaneous relation between stock market liquidity and the business cycle...
Using close to 800,000 (2,000,000) transactions by 66,000 (303,000) households in the United States ...
Using close to 800,000 transactions by 66,000 households in the United States and close to 2,000,000...
We show evidence of a contemporaneous relation between stock market liquidity and the business cycle...