Timing and Holding Periods for Common Stocks: A Duration-Based Analysis
Jorge Diz Dias
European Central Bank (ECB)
Miguel A. Ferreira
Nova School of Business and Economics; European Corporate Governance Institute (ECGI)
This paper uses duration models to study the trading behavior and determinants of holding periods for common stocks by institutional investors. The data set comprises 701,650 monthly holding positions of 22,596 investors in the Portuguese stock market. The results show that the longer an investor holds a position, the higher the likelihood that position will be maintained for a longer period. Foreign investors have shorter holding periods than domestic investors. Past returns determine the investor propensity to trade as they tend to sell past winners sooner than losers. Investors trade more frequently in large and liquid stocks. The length of the holding period is also related to stocks' volatility, technical and fundamental indicators.
Number of Pages in PDF File: 47
Keywords: Holding periods, Sequential financial decisions, Hazard models
JEL Classification: C41, D00, G11working papers series
Date posted: October 26, 2004
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