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Which past returns affect trading volume?
Glaser, Markus
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Weber, Martin
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URL:
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http://ub-madoc.bib.uni-mannheim.de/1880
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URN:
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urn:nbn:de:bsz:180-madoc-18803
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Document Type:
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Working paper
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Year of publication:
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2007
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The title of a journal, publication series:
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None
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Publication language:
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English
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Institution:
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Business School > Sonstige - Fakultät für Betriebswirtschaftslehre
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MADOC publication series:
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Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre (Weber) > Publications
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Subject:
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330 Economics
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Classification:
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JEL:
G1 D8 ,
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Subject headings (SWD):
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Kapitalertrag , Börsenkurs , Schätzung , Deutschland
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Individual keywords (German):
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Kapitalertrag , Börsenkurs , Börsenumsatz , Schätzung , Deutschland
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Keywords (English):
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Individual investors , investor behavior , trading volume , stock returns and trading volume , overconfidence , differences of opinion
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Abstract:
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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.
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Additional information:
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Available at SSRN: http://ssrn.com/abstract
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 | Das Dokument wird vom Publikationsserver der Universitätsbibliothek Mannheim bereitgestellt. |
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