Do investors trade uniformly through time?
AbstractThis 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. This effect is larger among shareholders who have more prior transactions, and it is robust to controls for unobserved heterogeneity.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Empirical Finance.
Volume (Year): 17 (2010)
Issue (Month): 4 (September)
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Web page: http://www.elsevier.com/locate/jempfin
Mutual funds Unobserved heterogeneity Individual financial decision making Shareholder trading probibilities;
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