Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period

Randi Næs and Bernt Ødegaard

No 2009/19, UiS Working Papers in Economics and Finance from University of Stavanger

Abstract: We 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.

Keywords: Market microstructure; Holding period; duration (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2009-03-01
New Economics Papers: this item is included in nep-mst
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Liquidity and asset pricing: Evidence on the role of investor holding period (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:stavef:2009_019

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