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Do investors trade uniformly through time?

  • Johnson, Woodrow T.

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. This effect is larger among shareholders who have more prior transactions, and it is robust to controls for unobserved heterogeneity.

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File URL: http://www.sciencedirect.com/science/article/B6VFG-4YJT5CY-1/2/13aafc5c6b922c21a79890deba8f2486
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 17 (2010)
Issue (Month): 4 (September)
Pages: 645-658

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Handle: RePEc:eee:empfin:v:17:y:2010:i:4:p:645-658
Contact details of provider: Web page: http://www.elsevier.com/locate/jempfin

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  1. Julie Agnew & Pierluigi Balduzzi & Annika Sundén, 2003. "Portfolio Choice and Trading in a Large 401(k) Plan," American Economic Review, American Economic Association, vol. 93(1), pages 193-215, March.
  2. William N. Goetzmann & Massimo Massa, 1999. "Daily Momentum And Contrarian Behavior Of Index Fund Investors," Yale School of Management Working Papers ysm13, Yale School of Management.
  3. Falkenstein, Eric G, 1996. " Preferences for Stock Characteristics as Revealed by Mutual Fund Portfolio Holdings," Journal of Finance, American Finance Association, vol. 51(1), pages 111-35, March.
  4. Guercio, Diane Del & Tkac, Paula A., 2002. "The Determinants of the Flow of Funds of Managed Portfolios: Mutual Funds vs. Pension Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(04), pages 523-557, December.
  5. Terrance Odean, 1999. "Do Investors Trade Too Much?," American Economic Review, American Economic Association, vol. 89(5), pages 1279-1298, December.
  6. Olivia S. Mitchell & Gary R. Mottola & Stephen P. Utkus & Takeshi Yamaguchi, 2006. "The Inattentive Participant: Portfolio Trading Behavior in 401(k) Plans," Working Papers wp115, University of Michigan, Michigan Retirement Research Center.
  7. Annette Vissing-Jorgensen, 2002. "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," NBER Working Papers 8884, National Bureau of Economic Research, Inc.
  8. Erik R. Sirri & Peter Tufano, 1998. "Costly Search and Mutual Fund Flows," Journal of Finance, American Finance Association, vol. 53(5), pages 1589-1622, October.
  9. Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, vol. 53(5), pages 1775-1798, October.
  10. Mark Grinblatt, 2001. "What Makes Investors Trade?," Journal of Finance, American Finance Association, vol. 56(2), pages 589-616, 04.
  11. Amit Seru & Tyler Shumway & Noah Stoffman, 2010. "Learning by Trading," Review of Financial Studies, Society for Financial Studies, vol. 23(2), pages 705-739, February.
  12. Samuelson, William & Zeckhauser, Richard, 1988. " Status Quo Bias in Decision Making," Journal of Risk and Uncertainty, Springer, vol. 1(1), pages 7-59, March.
  13. Woodrow T. Johnson, 2004. "Predictable Investment Horizons and Wealth Transfers among Mutual Fund Shareholders," Journal of Finance, American Finance Association, vol. 59(5), pages 1979-2012, October.
  14. Gur Huberman & Wei Jiang, 2006. "Offering versus Choice in 401(k) Plans: Equity Exposure and Number of Funds," Journal of Finance, American Finance Association, vol. 61(2), pages 763-801, 04.
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