Which past returns affect trading volume?


Glaser, Markus ; Weber, Martin


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URL: http://ub-madoc.bib.uni-mannheim.de/1880
URN: urn:nbn:de:bsz:180-madoc-18803
Document Type: Working paper
Year of publication: 2007
Publication language: English
Institution: Business School > Sonstige - Fakultät für Betriebswirtschaftslehre
MADOC publication series: Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre (Weber) > Publications
Subject: 330 Economics
Classification: JEL: G1 D8 ,
Subject headings (SWD): Kapitalertrag , Börsenkurs , Schätzung , Deutschland
Individual keywords (German): Kapitalertrag , Börsenkurs , Börsenumsatz , Schätzung , Deutschland
Keywords (English): Individual investors , investor behavior , trading volume , stock returns and trading volume , overconfidence , differences of opinion
Abstract: Anecdotal evidence suggests 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 several different panel regression models (linear panel regressions, negative binomial panel regressions, Tobit 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 propensity to trade stocks in a given month). After high portfolio returns, investors buy high risk stocks and reduce the number of stocks in their portfolio. High past market returns do not lead to higher risk taking or underdiversification. We argue that the only explanations for our findings are overconfidence theories based on biased self-attribution and differences of opinion explanations for high levels of trading activity.
Additional information: Available at SSRN: http://ssrn.com/abstract

Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt.




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Glaser, Markus ; Weber, Martin (2007) Which past returns affect trading volume? Open Access [Working paper]
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