Do Individual Investors Ignore Transaction Costs?

Anginer, Deniz ; Han, Snow Xue ; Yildizhan, Celim

World Bank, Washington, DC

关键词: LIQUIDITY;    TRANSACTION COSTS;    INVESTMENT;    BEHAVIORAL BIAS;   

DOI  :  10.1596/1813-9450-8098
RP-ID  :  WPS8098

学科分类：社会科学、人文和艺术（综合）

来源: World Bank Open Knowledge Repository

【 摘 要 】

Using close to 800,000 (2,000,000)transactions by 66,000 (303,000) households in the UnitedStates (in Finland), this paper shows that individualinvestors with longer holding periods choose to hold lessliquid stocks in their portfolios, consistent with Amihudand Mendelson's (1986) theory of liquidity clienteles.The relationship between holding periods and transactioncosts is stronger among more financially sophisticatedhouseholds. Households whose holding periods are positivelyrelated to transaction costs also earn higher gross returnson their investments before accounting for transactioncosts, suggesting that attention to non-salient transactioncosts is an indication of investing ability. The mainfindings are confirmed by analyzing changes ininvestors' holding periods around exogenous shocks tostock liquidity.