Do investors trade uniformly through time?

Woodrow Johnson

Journal of Empirical Finance, 2010, vol. 17, issue 4, 645-658

Abstract: This study tests whether investors trade uniformly through time by analyzing the quarter-by-quarter trading decision of individual shareholders in one no-load mutual fund family over nearly six years. These shareholders' trading probabilities change dramatically through time. Time has a larger economic effect on the shareholders' trading decisions than data commonly used in prior research, including fund performance. This effect is larger among shareholders who have more prior transactions, and it is robust to controls for unobserved heterogeneity.

Keywords: Mutual; funds; Unobserved; heterogeneity; Individual; financial; decision; making; Shareholder; trading; probibilities (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:17:y:2010:i:4:p:645-658

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