Advanced Search
MyIDEAS: Login to save this paper or follow this series

Which Past Returns Affect Trading Volume?

Contents:

Author Info

  • Glaser, Markus

    ()
    (Sonderforschungsbereich 504)

  • Weber, Martin

    ()
    (Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre)

Registered author(s):

    Abstract

    Anecdotal evidence and recent theoretical models argue that past stock returns affect subsequent stock trading volume. We study 3,000 individual investors over a 51 month period to test this prediction using linear panel regressions as well as negative binomial panel regressions and Logit panel regressions. We find that both past market returns as well as past portfolio returns affect trading activity of individual investors (as measured by stock portfolio turnover, the number of stock transactions, and the probability to trade stocks in a given month) and are thus able to confirm predictions of overconfidence models. However, contrary to intuition, the effect of market returns on subsequent trading volume is stronger for the whole group of investors. Using survey data of our investor sample, we present evidence that individual investors, on average, are unable to give a correct estimate of their own past realized stock portfolio performance. The correlation between return estimates and past realized returns is insignificant. For the subgroup of respondents, we are able to analyze the link between the ability to correctly estimate the past realized stock portfolio performance on the one hand and the dependence of trading volume on past returns on the other hand. We find that for the subgroup of investors that is better able to estimate the own past realized stock portfolio performance, the effect of past portfolio returns on trading volume is stronger. We argue that this finding might explain our results concerning the relation between past returns and subsequent trading volume.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim in its series Sonderforschungsbereich 504 Publications with number 05-33.

    as in new window
    Length: 51 pages
    Date of creation: 06 Aug 2005
    Date of revision:
    Handle: RePEc:xrs:sfbmaa:05-33

    Note: Financial support from the Deutsche Forschungsgemeinschaft, SFB 504, at the University of Mannheim, is gratefully acknowledged.
    Contact details of provider:
    Postal: D-68131 Mannheim
    Phone: (49) (0) 621-292-2547
    Fax: (49) (0) 621-292-5594
    Email:
    Web page: http://www.sfb504.uni-mannheim.de/
    More information through EDIRC

    Web page: http://www.sfb504.uni-mannheim.de

    Order Information:
    Email:

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:xrs:sfbmaa:05-33. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Carsten Schmidt).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.