Show simple item record

dc.contributor.authorBlackburn, Douglas W.
dc.contributor.authorGoetzmann, William N.
dc.contributor.authorUkhov, Andrey D.
dc.date.accessioned2020-09-09T16:33:31Z
dc.date.available2020-09-09T16:33:31Z
dc.date.issued2012-05-01
dc.identifier.other7351162
dc.identifier.urihttps://hdl.handle.net/1813/70897
dc.description.abstractIn this paper we use a sample of individual trading accounts in equity style funds taken from one fund family to test the hypothesis that trading styles are inherent vs. contextual. Our sample contains investors who invest either in a growth fund, a value fund or both. We document behavioral differences between growth fund investors and value fund investors. We find that their trades depend on past returns in different ways: growth fund investors tend towards momentum trading and value fund investors tend towards contrarian trading. These differences may be due to inherent clientele characteristics, including beliefs about market prices, specific personality traits and cognitive strategies that cause them to self-select into one or the other style. We use a sample of investors that trade in both types of funds to test this proposition. Consistent with the contextual hypothesis, we find that investors who hold both types of funds trade growth fund shares differently than value fund shares.
dc.language.isoen_US
dc.rightsRequired Publisher Statement: © Cornell University. This report may not be reproduced or distributed without the express permission of the publisher.
dc.subjectCornell
dc.subjectagent-specific vs context-dependent risk taking
dc.subjectindividual investor
dc.subjecttrading behavior
dc.subjectmomentum
dc.subjectcontrarian
dc.title“Is Trading Behavior Stable across Contexts? Evidence from Style and Multi-Style Investors”
dc.typearticle
dc.description.legacydownloads2012_Blackburn_Trading_behavior.pdf: 101 downloads, before Aug. 1, 2020.
local.authorAffiliationBlackburn, Douglas W.: Fordham University
local.authorAffiliationGoetzmann, William N.: Yale University
local.authorAffiliationUkhov, Andrey D.: au53@cornell.edu Cornell University


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record

Statistics