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- W1605229077 abstract "Using a proprietary database of institutional money manager and pension fund transactions, we find wide dispersion in trade holding periods. For example, all of the institutional funds execute roundtrip trades lasting over a year, and 96% of them also execute trades lasting less than one month. In aggregate over seven percent of volume occurs in trades that are held for less than one month, although short-duration trades have negative returns on average. Our empirical results show mixed support for the idea that institutions make trade holding period decisions based on portfolio optimization, some evidence of persistent information or trading skill in short-duration trades, and no evidence that short-duration institutional trades are driven by the disposition effect or overconfidence. 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.”" @default.
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- W1605229077 date "2012-01-01" @default.
- W1605229077 modified "2023-09-26" @default.
- W1605229077 title "Institutional Holding Periods" @default.
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- W1605229077 doi "https://doi.org/10.2139/ssrn.2118896" @default.
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