Do Investors Trade Uniformly through Time?

34 Pages Posted: 21 Mar 2006 Last revised: 29 Aug 2010

See all articles by Woodrow T. Johnson

Woodrow T. Johnson

U.S. Securities and Exchange Commission

Date Written: August 20, 2009

Abstract

This study tests whether investors trade uniformly through time by analyzing the quarter-by- quarter trading decision of individual shareholders in one no-load mutual fund family over nearly six years. These shareholders' trading probabilities change dramatically through time. Time has a larger economic effect on the shareholders' trading decisions than data commonly used in prior research, including fund performance. The results are robust to controls for unobserved heterogeneity, and they are larger among shareholders who have more prior transactions.

Suggested Citation

Johnson, Woodrow T., Do Investors Trade Uniformly through Time? (August 20, 2009). Journal of Empirical Finance, Vol. 17, No. 4, 2010, Available at SSRN: https://ssrn.com/abstract=891739 or http://dx.doi.org/10.2139/ssrn.891739

Woodrow T. Johnson (Contact Author)

U.S. Securities and Exchange Commission ( email )

100 F Street, NE
Washington, DC 20549-9360
United States
202-551-6611 (Phone)

HOME PAGE: http://www.sec.gov/about/economic.shtml

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