Liquidity and Asset Pricing : Evidence on the Role of Investor Holding Period

@inproceedings{Ns2008LiquidityAA,
  title={Liquidity and Asset Pricing : Evidence on the Role of Investor Holding Period},
  author={Randi N{\ae}s and Bernt Arne {\O}degaard},
  year={2008}
}
We use data on actual holding periods for all investors in a stock market over a 10year period to investigate the links between holding periods, liquidity, and asset returns. Microstructure measures of liquidity are shown to be important determinants of the holding period decision of individual investors. We also find evidence that the average holding period is different for different investor groups. Interestingly, we find that turnover is an imperfect proxy for holding period. Moreover, while… CONTINUE READING

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