Institutional Holding Periods
| dc.contributor.author | Chakrabarty, Bidisha | |
| dc.contributor.author | Moulton, Pamela | |
| dc.contributor.author | Trzcinka, Charles | |
| dc.date.accessioned | 2020-09-11T01:57:41Z | |
| dc.date.available | 2020-09-11T01:57:41Z | |
| dc.date.issued | 2013-04-29 | |
| dc.description.abstract | We find wide dispersion in trade holding periods for institutional money managers and pension funds. All of the funds execute round-trip trades lasting over a year; 96% of them also execute trades lasting less than one month, although average short-duration trade returns are negative. We find only limited evidence that institutions choose holding periods based on portfolio optimization and no evidence that short-duration trades are driven by the disposition effect. Our results are consistent with the agency problem that arises when clients cannot distinguish when a manager is “actively doing nothing” versus “simply doing nothing” as well as manager overconfidence. | |
| dc.description.legacydownloads | Moulton13_Institutional_holding_periods.pdf: 1733 downloads, before Aug. 1, 2020. | |
| dc.identifier.other | 4751814 | |
| dc.identifier.uri | https://hdl.handle.net/1813/71316 | |
| dc.language.iso | en_US | |
| dc.relation.isversionof | An earlier version of this article is also available in eCommons. | |
| dc.relation.uri | https://hdl.handle.net/1813/70907 | |
| dc.rights | Required Publisher Statement: Copyright held by the authors. | |
| dc.subject | institutional trading | |
| dc.subject | trade holding periods | |
| dc.subject | portfolio optimization | |
| dc.subject | overconfidence | |
| dc.title | Institutional Holding Periods | |
| dc.type | article | |
| local.authorAffiliation | Chakrabarty, Bidisha: St. Louis University | |
| local.authorAffiliation | Moulton, Pamela: pm388@cornell.edu Cornell University School of Hotel Administration | |
| local.authorAffiliation | Trzcinka, Charles: Indiana University - Bloomington |
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