Buyers versus Sellers: Who Initiates Trades, and When?
Amit Goyal () and
Journal of Financial and Quantitative Analysis, 2016, vol. 51, issue 5, 1467-1490
Models that examine investorsâ€™ motivations to trade often make opposite predictions about the relation between trading decisions and past returns. We find that, in the aggregate, both buyer- and seller-initiated trades increase with past returns. The difference between buyer- and seller-initiated trades is negatively related to short horizon returns but positively related to returns over longer horizons. Tax-loss-related seller-initiated trades in December and January are accompanied by increased buyer-initiated trades. Past returns significantly affect trading decisions, and these findings are consistent with a number of different models of trading behavior.
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Working Paper: Buyers Versus Sellers: Who Initiates Trades And When? (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:51:y:2016:i:05:p:1467-1490_00
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