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

Andros Gregoriou

Applied Economics Letters, 2016, vol. 23, issue 6, 432-435

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.

Date: 2016
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DOI: 10.1080/13504851.2015.1080795

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