Buyers versus Sellers: Who Initiates Trades, and When?

被引：8

作者：

Chordia, Tarun ^{[1
]}

Goyal, Amit ^{[2
]}

Jegadeesh, Narasimhan ^{[1
]}

机构：

[1] Emory Univ, Goizueta Business Sch, Atlanta, GA 30322 USA

[2] Univ Lausanne, Swiss Finance Inst, CH-1015 Lausanne, Switzerland

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2016年 / 51卷 / 05期

关键词：

LOSS SELLING EXPLAIN; STOCK RETURNS; MARKET-EFFICIENCY; TRADING VOLUME; BEHAVIOR; JANUARY; INVESTORS; MOMENTUM; WINNERS; PRICES;

D O I：

10.1017/S0022109016000521

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Models that examine investors' motivations to trade often make opposite predictions about the relation between trading decisions and past returns. We find that, in the aggregate, both buyer-and seller-initiated trades increase with past returns. The difference between buyer-and seller-initiated trades is negatively related to short horizon returns but positively related to returns over longer horizons. Tax-loss-related seller-initiated trades in December and January are accompanied by increased buyer-initiated trades. Past returns significantly affect trading decisions, and these findings are consistent with a number of different models of trading behavior.

引用

页码：1467 / 1490

页数：24

共 43 条

[1] Are Investors Really Reluctant to Realize Their Losses? Trading Responses to Past Returns and the Disposition Effect [J].