Liquidity Clienteles

46 Pages Posted: 3 Jun 2010 Last revised: 30 Apr 2011

See all articles by Deniz Anginer

Deniz Anginer

Simon Fraser University (SFU)

Multiple version iconThere are 2 versions of this paper

Date Written: April 2011


Investors’ holding periods determine how transaction costs are amortized and priced as liquidity premium in asset returns. Using a dataset containing two million trades made by over 66,000 households, this paper shows that transaction costs are an important determinant of investors’ holding periods. Consistent with the Amihud and Mendelson (1986) notion of liquidity clienteles investors with longer holding periods choose to hold less liquid securities in their portfolios. The relationship between holding periods and transaction costs is stronger among more sophisticated investors and investors that have holding periods that are positively related to transaction costs earn both higher gross and net returns.

Keywords: Transaction costs, Liquidity, Individual investor

JEL Classification: G10, G11, G12

Suggested Citation

Anginer, Deniz, Liquidity Clienteles (April 2011). Available at SSRN: or

Deniz Anginer (Contact Author)

Simon Fraser University (SFU) ( email )

8888 University Drive
Burnaby, British Columbia V5A 1S6

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