Investor Turnover

Posted: 23 Aug 2010 Last revised: 15 Mar 2011

See all articles by Paul B. Tacon

Paul B. Tacon

University of Queensland - Business School

Jason Hall

University of Michigan, Stephen M. Ross School of Business

Date Written: August 23, 2010


While Merton (1987) proposes that firm value increases with the number of shareholders, relatively few studies have explicitly sought to identify the factors that affect investor participation per se in equity markets. Using a unique dataset that measures the inflow and outflow of equity investors in Australian-listed firms, we relate market uncertainty to the trading behaviour of investors. Stock return volatility encourages both entry and exit of shareholders. Incumbent shareholders are more likely to divest fully of their holdings as the stock price increases. On the size of trades, a rising and volatile stock price leads to a greater initial purchase and final sale of holdings by new and old shareholders, respectively.

Keywords: investors, turnover, uncertainty, disposition effect

JEL Classification: G10, G11

Suggested Citation

Tacon, Paul B. and Hall, Jason L., Investor Turnover (August 23, 2010). 23rd Australasian Finance and Banking Conference 2010 Paper. Available at SSRN:

Paul B. Tacon (Contact Author)

University of Queensland - Business School ( email )

Brisbane, Queensland 4072

Jason L. Hall

University of Michigan, Stephen M. Ross School of Business ( email )

701 Tappan Street, Ross School of Business
University of Michigan
United States
+1 734 926 6989 (Phone)

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