Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors
Theoretical papers link the liquidity premium to the optimal trading decisions of investors facing transaction costs. In particular, investors' holding periods determine how transaction costs are amortized and priced in asset returns. Using a...
Main Author: | |
---|---|
Format: | Policy Research Working Paper |
Language: | English |
Published: |
2012
|
Subjects: | |
Online Access: | http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100526133302 http://hdl.handle.net/10986/3803 |
id |
okr-10986-3803 |
---|---|
recordtype |
oai_dc |
repository_type |
Digital Repository |
institution_category |
Foreign Institution |
institution |
Digital Repositories |
building |
World Bank Open Knowledge Repository |
collection |
World Bank |
language |
English |
topic |
ACCOUNTING ADVERSE EFFECTS ADVERSE SELECTION AGGREGATE MARKET AMOUNT OF CAPITAL ASSET PRICES ASSET PRICING ASSET RETURNS ASYMMETRIC INFORMATION BASIS POINTS BENCHMARKS BID BOOK VALUE BOOK-TO-MARKET BPS BROKERAGE BROKERAGE HOUSE CAPITAL MARKET CHECKS CLOSING PRICE CLOSING PRICES COMMON MARKET COMMON STOCK COMMON STOCKS CONSUMER FINANCES DECISION MAKING DEMOGRAPHIC DISCOUNT BROKERAGE DIVERSIFIED PORTFOLIOS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC THEORY EFFICIENT MARKET EQUILIBRIUM EQUITIES EQUITY INVESTMENTS EQUITY MARKETS EQUITY PORTFOLIO EXCESS RETURN EXCESS RETURNS EXTERNAL INVESTORS FINANCES FINANCIAL MARKETS FINANCIAL SECURITIES FINANCIAL SERVICES FINANCIAL STUDIES FOREIGN ASSET FOREIGN MUTUAL FUNDS FOREIGN STOCKS GDP GROUP OF INVESTORS GROUPS OF INVESTORS HOLDING HOLDING PERIOD HOLDING PERIODS HOLDINGS HOUSEHOLD INCOME ILLIQUID ASSETS ILLIQUID SECURITIES ILLIQUID SECURITY ILLIQUIDITY INCOME SHOCKS INCOMES INDIVIDUAL INVESTOR INDIVIDUAL INVESTORS INDIVIDUAL SECURITIES INSTITUTIONAL INVESTORS INTEREST RATE INTERNATIONAL BANK INVENTORIES INVENTORY INVESTING INVESTMENT ADVISORS INVESTMENT DECISIONS INVESTMENT HORIZONS INVESTMENT OPPORTUNITIES INVESTMENT PERFORMANCE INVESTMENT POLICIES INVESTOR BEHAVIOR INVESTOR HOLDING INVESTOR LOSSES INVESTOR RATIONALITY INVESTOR SENTIMENT INVESTOR WELFARE LARGE CAP LARGE CAP STOCK LIQUID ASSETS LIQUID STOCKS LIQUIDITY LIQUIDITY PREMIUM LIQUIDITY RISK LONG-TERM INVESTORS MARGINAL UTILITY MARKET CAPITALIZATION MARKET EQUILIBRIUM MARKET LEVEL MARKET LIQUIDITY MARKET MAKER MARKET MAKERS MARKET MOVEMENTS MARKET PARTICIPANTS MARKET PORTFOLIO MARKET RETURN MARKET SUPPLY MARKET VOLATILITY MUTUAL FUND MUTUAL FUND FLOWS MUTUAL FUND PERFORMANCE MUTUAL FUNDS NET RETURN NET RETURNS NOISE TRADERS NUMBER OF INVESTOR NUMBER OF INVESTORS NUMBER OF SHARES ORDER FLOW ORDER FLOWS POLITICAL ECONOMY PORTFOLIO PORTFOLIO DIVERSIFICATION PORTFOLIO PERFORMANCE PORTFOLIO POSITIONS PORTFOLIOS POSITIVE ABNORMAL RETURNS PREDICTABILITY PREVIOUS STUDIES PRICE FLUCTUATIONS PRIVATE SECTOR DEVELOPMENT PUBLIC POLICY PURCHASE PRICE PURCHASING RATE OF RETURN RAW RETURNS RETAIL RETAIL INVESTOR RETAIL INVESTORS RETURN RETURNS RISK EXPOSURE RISK NEUTRAL ROBUSTNESS CHECKS SALE SALES SECURITIES TRANSACTION SECURITIES TRANSACTIONS SECURITY HOLDINGS SECURITY PRICES SHORT-TERM RETURNS SHORT-TERM TRADING SOPHISTICATED INVESTORS SPREAD STOCK CHARACTERISTICS STOCK HOLDINGS STOCK MARKET STOCK PRICE STOCK RETURNS STOCKS SUPPLIERS TAX TAX POLICY TERM STRUCTURE OF INTEREST RATES TIME HORIZON TRADES TRADING TRADING ACTIVITY TRADING COSTS TRADING DAY TRADING DAYS TRADING VOLUME TRANSACTION TRANSACTION COST TRANSACTION COSTS TRANSACTION PRICE TRANSACTIONS COSTS TURNOVER UNSOPHISTICATED INVESTOR VOLATILITY WEALTH |
spellingShingle |
ACCOUNTING ADVERSE EFFECTS ADVERSE SELECTION AGGREGATE MARKET AMOUNT OF CAPITAL ASSET PRICES ASSET PRICING ASSET RETURNS ASYMMETRIC INFORMATION BASIS POINTS BENCHMARKS BID BOOK VALUE BOOK-TO-MARKET BPS BROKERAGE BROKERAGE HOUSE CAPITAL MARKET CHECKS CLOSING PRICE CLOSING PRICES COMMON MARKET COMMON STOCK COMMON STOCKS CONSUMER FINANCES DECISION MAKING DEMOGRAPHIC DISCOUNT BROKERAGE DIVERSIFIED PORTFOLIOS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC THEORY EFFICIENT MARKET EQUILIBRIUM EQUITIES EQUITY INVESTMENTS EQUITY MARKETS EQUITY PORTFOLIO EXCESS RETURN EXCESS RETURNS EXTERNAL INVESTORS FINANCES FINANCIAL MARKETS FINANCIAL SECURITIES FINANCIAL SERVICES FINANCIAL STUDIES FOREIGN ASSET FOREIGN MUTUAL FUNDS FOREIGN STOCKS GDP GROUP OF INVESTORS GROUPS OF INVESTORS HOLDING HOLDING PERIOD HOLDING PERIODS HOLDINGS HOUSEHOLD INCOME ILLIQUID ASSETS ILLIQUID SECURITIES ILLIQUID SECURITY ILLIQUIDITY INCOME SHOCKS INCOMES INDIVIDUAL INVESTOR INDIVIDUAL INVESTORS INDIVIDUAL SECURITIES INSTITUTIONAL INVESTORS INTEREST RATE INTERNATIONAL BANK INVENTORIES INVENTORY INVESTING INVESTMENT ADVISORS INVESTMENT DECISIONS INVESTMENT HORIZONS INVESTMENT OPPORTUNITIES INVESTMENT PERFORMANCE INVESTMENT POLICIES INVESTOR BEHAVIOR INVESTOR HOLDING INVESTOR LOSSES INVESTOR RATIONALITY INVESTOR SENTIMENT INVESTOR WELFARE LARGE CAP LARGE CAP STOCK LIQUID ASSETS LIQUID STOCKS LIQUIDITY LIQUIDITY PREMIUM LIQUIDITY RISK LONG-TERM INVESTORS MARGINAL UTILITY MARKET CAPITALIZATION MARKET EQUILIBRIUM MARKET LEVEL MARKET LIQUIDITY MARKET MAKER MARKET MAKERS MARKET MOVEMENTS MARKET PARTICIPANTS MARKET PORTFOLIO MARKET RETURN MARKET SUPPLY MARKET VOLATILITY MUTUAL FUND MUTUAL FUND FLOWS MUTUAL FUND PERFORMANCE MUTUAL FUNDS NET RETURN NET RETURNS NOISE TRADERS NUMBER OF INVESTOR NUMBER OF INVESTORS NUMBER OF SHARES ORDER FLOW ORDER FLOWS POLITICAL ECONOMY PORTFOLIO PORTFOLIO DIVERSIFICATION PORTFOLIO PERFORMANCE PORTFOLIO POSITIONS PORTFOLIOS POSITIVE ABNORMAL RETURNS PREDICTABILITY PREVIOUS STUDIES PRICE FLUCTUATIONS PRIVATE SECTOR DEVELOPMENT PUBLIC POLICY PURCHASE PRICE PURCHASING RATE OF RETURN RAW RETURNS RETAIL RETAIL INVESTOR RETAIL INVESTORS RETURN RETURNS RISK EXPOSURE RISK NEUTRAL ROBUSTNESS CHECKS SALE SALES SECURITIES TRANSACTION SECURITIES TRANSACTIONS SECURITY HOLDINGS SECURITY PRICES SHORT-TERM RETURNS SHORT-TERM TRADING SOPHISTICATED INVESTORS SPREAD STOCK CHARACTERISTICS STOCK HOLDINGS STOCK MARKET STOCK PRICE STOCK RETURNS STOCKS SUPPLIERS TAX TAX POLICY TERM STRUCTURE OF INTEREST RATES TIME HORIZON TRADES TRADING TRADING ACTIVITY TRADING COSTS TRADING DAY TRADING DAYS TRADING VOLUME TRANSACTION TRANSACTION COST TRANSACTION COSTS TRANSACTION PRICE TRANSACTIONS COSTS TURNOVER UNSOPHISTICATED INVESTOR VOLATILITY WEALTH Anginer, Deniz Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors |
geographic_facet |
The World Region The World Region |
relation |
Policy Research working paper ; no. WPS 5318 |
description |
Theoretical papers link the liquidity
premium to the optimal trading decisions of investors facing
transaction costs. In particular, investors' holding
periods determine how transaction costs are amortized and
priced in asset returns. Using a unique data set containing
two million trades, this paper investigates the relationship
between holding periods and transaction costs for 66,000
households from a large discount brokerage. The author finds
that transaction costs are an important determinant of
investors' holding periods, after controlling for
household and stock characteristics. The relationship
between holding periods and transaction costs is stronger
among more sophisticated investors. Households with longer
holding periods earn significantly higher returns after
amortized transaction costs, and households that have
holding periods that are positively related to transaction
costs earn both higher gross and net returns. The author
shows that there is correlation in the demand for liquid
assets across households and, consistent with the notion of
flight to liquidity, this demand increases during times of
low market liquidity. Households with higher incomes and
with higher wealth invested in the stock market supply
liquidity when market liquidity is low. |
format |
Publications & Research :: Policy Research Working Paper |
author |
Anginer, Deniz |
author_facet |
Anginer, Deniz |
author_sort |
Anginer, Deniz |
title |
Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors |
title_short |
Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors |
title_full |
Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors |
title_fullStr |
Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors |
title_full_unstemmed |
Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors |
title_sort |
liquidity clienteles : transaction costs and investment decisions of individual investors |
publishDate |
2012 |
url |
http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100526133302 http://hdl.handle.net/10986/3803 |
_version_ |
1764388429622149120 |
spelling |
okr-10986-38032021-04-23T14:02:12Z Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors Anginer, Deniz ACCOUNTING ADVERSE EFFECTS ADVERSE SELECTION AGGREGATE MARKET AMOUNT OF CAPITAL ASSET PRICES ASSET PRICING ASSET RETURNS ASYMMETRIC INFORMATION BASIS POINTS BENCHMARKS BID BOOK VALUE BOOK-TO-MARKET BPS BROKERAGE BROKERAGE HOUSE CAPITAL MARKET CHECKS CLOSING PRICE CLOSING PRICES COMMON MARKET COMMON STOCK COMMON STOCKS CONSUMER FINANCES DECISION MAKING DEMOGRAPHIC DISCOUNT BROKERAGE DIVERSIFIED PORTFOLIOS DUMMY VARIABLE DUMMY VARIABLES ECONOMIC THEORY EFFICIENT MARKET EQUILIBRIUM EQUITIES EQUITY INVESTMENTS EQUITY MARKETS EQUITY PORTFOLIO EXCESS RETURN EXCESS RETURNS EXTERNAL INVESTORS FINANCES FINANCIAL MARKETS FINANCIAL SECURITIES FINANCIAL SERVICES FINANCIAL STUDIES FOREIGN ASSET FOREIGN MUTUAL FUNDS FOREIGN STOCKS GDP GROUP OF INVESTORS GROUPS OF INVESTORS HOLDING HOLDING PERIOD HOLDING PERIODS HOLDINGS HOUSEHOLD INCOME ILLIQUID ASSETS ILLIQUID SECURITIES ILLIQUID SECURITY ILLIQUIDITY INCOME SHOCKS INCOMES INDIVIDUAL INVESTOR INDIVIDUAL INVESTORS INDIVIDUAL SECURITIES INSTITUTIONAL INVESTORS INTEREST RATE INTERNATIONAL BANK INVENTORIES INVENTORY INVESTING INVESTMENT ADVISORS INVESTMENT DECISIONS INVESTMENT HORIZONS INVESTMENT OPPORTUNITIES INVESTMENT PERFORMANCE INVESTMENT POLICIES INVESTOR BEHAVIOR INVESTOR HOLDING INVESTOR LOSSES INVESTOR RATIONALITY INVESTOR SENTIMENT INVESTOR WELFARE LARGE CAP LARGE CAP STOCK LIQUID ASSETS LIQUID STOCKS LIQUIDITY LIQUIDITY PREMIUM LIQUIDITY RISK LONG-TERM INVESTORS MARGINAL UTILITY MARKET CAPITALIZATION MARKET EQUILIBRIUM MARKET LEVEL MARKET LIQUIDITY MARKET MAKER MARKET MAKERS MARKET MOVEMENTS MARKET PARTICIPANTS MARKET PORTFOLIO MARKET RETURN MARKET SUPPLY MARKET VOLATILITY MUTUAL FUND MUTUAL FUND FLOWS MUTUAL FUND PERFORMANCE MUTUAL FUNDS NET RETURN NET RETURNS NOISE TRADERS NUMBER OF INVESTOR NUMBER OF INVESTORS NUMBER OF SHARES ORDER FLOW ORDER FLOWS POLITICAL ECONOMY PORTFOLIO PORTFOLIO DIVERSIFICATION PORTFOLIO PERFORMANCE PORTFOLIO POSITIONS PORTFOLIOS POSITIVE ABNORMAL RETURNS PREDICTABILITY PREVIOUS STUDIES PRICE FLUCTUATIONS PRIVATE SECTOR DEVELOPMENT PUBLIC POLICY PURCHASE PRICE PURCHASING RATE OF RETURN RAW RETURNS RETAIL RETAIL INVESTOR RETAIL INVESTORS RETURN RETURNS RISK EXPOSURE RISK NEUTRAL ROBUSTNESS CHECKS SALE SALES SECURITIES TRANSACTION SECURITIES TRANSACTIONS SECURITY HOLDINGS SECURITY PRICES SHORT-TERM RETURNS SHORT-TERM TRADING SOPHISTICATED INVESTORS SPREAD STOCK CHARACTERISTICS STOCK HOLDINGS STOCK MARKET STOCK PRICE STOCK RETURNS STOCKS SUPPLIERS TAX TAX POLICY TERM STRUCTURE OF INTEREST RATES TIME HORIZON TRADES TRADING TRADING ACTIVITY TRADING COSTS TRADING DAY TRADING DAYS TRADING VOLUME TRANSACTION TRANSACTION COST TRANSACTION COSTS TRANSACTION PRICE TRANSACTIONS COSTS TURNOVER UNSOPHISTICATED INVESTOR VOLATILITY WEALTH Theoretical papers link the liquidity premium to the optimal trading decisions of investors facing transaction costs. In particular, investors' holding periods determine how transaction costs are amortized and priced in asset returns. Using a unique data set containing two million trades, this paper investigates the relationship between holding periods and transaction costs for 66,000 households from a large discount brokerage. The author finds that transaction costs are an important determinant of investors' holding periods, after controlling for household and stock characteristics. The relationship between holding periods and transaction costs is stronger among more sophisticated investors. Households with longer holding periods earn significantly higher returns after amortized transaction costs, and households that have holding periods that are positively related to transaction costs earn both higher gross and net returns. The author shows that there is correlation in the demand for liquid assets across households and, consistent with the notion of flight to liquidity, this demand increases during times of low market liquidity. Households with higher incomes and with higher wealth invested in the stock market supply liquidity when market liquidity is low. 2012-03-19T18:40:06Z 2012-03-19T18:40:06Z 2010-05-01 http://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100526133302 http://hdl.handle.net/10986/3803 English Policy Research working paper ; no. WPS 5318 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank Publications & Research :: Policy Research Working Paper The World Region The World Region |