Timing and Holding Periods for Common Stocks: A Duration-Based Analysis

47 Pages Posted: 26 Oct 2004

See all articles by Jorge Diz Dias

Jorge Diz Dias

European Central Bank (ECB)

Miguel A. Ferreira

Nova School of Business and Economics; European Corporate Governance Institute (ECGI); Centre for Economic Policy Research (CEPR)

Date Written: February 2004

Abstract

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.

Keywords: Holding periods, Sequential financial decisions, Hazard models

JEL Classification: C41, D00, G11

Suggested Citation

Diz Dias, Jorge and Ferreira, Miguel Almeida, Timing and Holding Periods for Common Stocks: A Duration-Based Analysis (February 2004). Available at SSRN: https://ssrn.com/abstract=608801 or http://dx.doi.org/10.2139/ssrn.608801

Jorge Diz Dias

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

Miguel Almeida Ferreira (Contact Author)

Nova School of Business and Economics ( email )

Campus de Campolide
Lisbon, 1099-032
Portugal

European Corporate Governance Institute (ECGI) ( email )

c/o ECARES ULB CP 114
B-1050 Brussels
Belgium

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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