The trading volume impact of local bias : evidence from a natural experiment

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URL:	https://ub-madoc.bib.uni-mannheim.de/31480
Weitere URL:	http://ssrn.com/abstract=1527579
URN:	urn:nbn:de:bsz:180-madoc-314806
Dokumenttyp:	Arbeitspapier
Erscheinungsjahr:	2011
Titel einer Zeitschrift oder einer Reihe:	Working Paper / Lehrstuhl für Finanzierung, Universität Mannheim
Band/Volume:	176
Ort der Veröffentlichung:	Mannheim
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Betriebswirtschaftslehre > ABWL u. Finanzwirtschaft, insbes. Bankbetriebslehre (Weber 1993-2017)
MADOC-Schriftenreihe:	Lehrstuhl für ABWL, Finanzwirtschaft, insb. Bankbetriebslehre (Weber) > Working Papers
Fachgebiet:	330 Wirtschaft
Fachklassifikation:	JEL: G12 , G14 ,
Freie Schlagwörter (Englisch):	Local bias , trading activity , investor recognition , investor distraction , holiday effect , natural experiment
Abstract:	Exploiting several regional holidays in Germany as a source of exogenous cross-sectional variation in investor attention, we provide evidence that the well-known local bias at the individual level materially affects stock turnover at the firm level. The German setting offers favorable characteristics for this natural experiment. Stocks of firms located in holiday regions are temporarily strikingly less traded, both in statistical and economic terms, than otherwise very similar stocks in non-holiday regions. This negative turnover shock is robust and survives various tests for cross-sectional differences in information release. It is particularly pronounced in stocks less visible to non-local investors, and for smaller stocks disproportionately driven by retail investors. Our findings contribute to research on local bias, determinants of trading activity and limited attention.