Publication:
Liquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investors

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dc.contributor.authorAnginer, Deniz
dc.date.accessioned2012-03-19T18:40:06Z
dc.date.available2012-03-19T18:40:06Z
dc.date.issued2010-05-01
dc.description.abstractTheoretical 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.en
dc.identifierhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100526133302
dc.identifier.doi10.1596/1813-9450-5318
dc.identifier.urihttps://hdl.handle.net/10986/3803
dc.languageEnglish
dc.relation.ispartofseriesPolicy Research working paper ; no. WPS 5318
dc.rightsCC BY 3.0 IGO
dc.rights.holderWorld Bank
dc.rights.urihttp://creativecommons.org/licenses/by/3.0/igo/
dc.subjectACCOUNTING
dc.subjectADVERSE EFFECTS
dc.subjectADVERSE SELECTION
dc.subjectAGGREGATE MARKET
dc.subjectAMOUNT OF CAPITAL
dc.subjectASSET PRICES
dc.subjectASSET PRICING
dc.subjectASSET RETURNS
dc.subjectASYMMETRIC INFORMATION
dc.subjectBASIS POINTS
dc.subjectBENCHMARKS
dc.subjectBID
dc.subjectBOOK VALUE
dc.subjectBOOK-TO-MARKET
dc.subjectBPS
dc.subjectBROKERAGE
dc.subjectBROKERAGE HOUSE
dc.subjectCAPITAL MARKET
dc.subjectCHECKS
dc.subjectCLOSING PRICE
dc.subjectCLOSING PRICES
dc.subjectCOMMON MARKET
dc.subjectCOMMON STOCK
dc.subjectCOMMON STOCKS
dc.subjectCONSUMER FINANCES
dc.subjectDECISION MAKING
dc.subjectDEMOGRAPHIC
dc.subjectDISCOUNT BROKERAGE
dc.subjectDIVERSIFIED PORTFOLIOS
dc.subjectDUMMY VARIABLE
dc.subjectDUMMY VARIABLES
dc.subjectECONOMIC THEORY
dc.subjectEFFICIENT MARKET
dc.subjectEQUILIBRIUM
dc.subjectEQUITIES
dc.subjectEQUITY INVESTMENTS
dc.subjectEQUITY MARKETS
dc.subjectEQUITY PORTFOLIO
dc.subjectEXCESS RETURN
dc.subjectEXCESS RETURNS
dc.subjectEXTERNAL INVESTORS
dc.subjectFINANCES
dc.subjectFINANCIAL MARKETS
dc.subjectFINANCIAL SECURITIES
dc.subjectFINANCIAL SERVICES
dc.subjectFINANCIAL STUDIES
dc.subjectFOREIGN ASSET
dc.subjectFOREIGN MUTUAL FUNDS
dc.subjectFOREIGN STOCKS
dc.subjectGDP
dc.subjectGROUP OF INVESTORS
dc.subjectGROUPS OF INVESTORS
dc.subjectHOLDING
dc.subjectHOLDING PERIOD
dc.subjectHOLDING PERIODS
dc.subjectHOLDINGS
dc.subjectHOUSEHOLD INCOME
dc.subjectILLIQUID ASSETS
dc.subjectILLIQUID SECURITIES
dc.subjectILLIQUID SECURITY
dc.subjectILLIQUIDITY
dc.subjectINCOME SHOCKS
dc.subjectINCOMES
dc.subjectINDIVIDUAL INVESTOR
dc.subjectINDIVIDUAL INVESTORS
dc.subjectINDIVIDUAL SECURITIES
dc.subjectINSTITUTIONAL INVESTORS
dc.subjectINTEREST RATE
dc.subjectINTERNATIONAL BANK
dc.subjectINVENTORIES
dc.subjectINVENTORY
dc.subjectINVESTING
dc.subjectINVESTMENT ADVISORS
dc.subjectINVESTMENT DECISIONS
dc.subjectINVESTMENT HORIZONS
dc.subjectINVESTMENT OPPORTUNITIES
dc.subjectINVESTMENT PERFORMANCE
dc.subjectINVESTMENT POLICIES
dc.subjectINVESTOR BEHAVIOR
dc.subjectINVESTOR HOLDING
dc.subjectINVESTOR LOSSES
dc.subjectINVESTOR RATIONALITY
dc.subjectINVESTOR SENTIMENT
dc.subjectINVESTOR WELFARE
dc.subjectLARGE CAP
dc.subjectLARGE CAP STOCK
dc.subjectLIQUID ASSETS
dc.subjectLIQUID STOCKS
dc.subjectLIQUIDITY
dc.subjectLIQUIDITY PREMIUM
dc.subjectLIQUIDITY RISK
dc.subjectLONG-TERM INVESTORS
dc.subjectMARGINAL UTILITY
dc.subjectMARKET CAPITALIZATION
dc.subjectMARKET EQUILIBRIUM
dc.subjectMARKET LEVEL
dc.subjectMARKET LIQUIDITY
dc.subjectMARKET MAKER
dc.subjectMARKET MAKERS
dc.subjectMARKET MOVEMENTS
dc.subjectMARKET PARTICIPANTS
dc.subjectMARKET PORTFOLIO
dc.subjectMARKET RETURN
dc.subjectMARKET SUPPLY
dc.subjectMARKET VOLATILITY
dc.subjectMUTUAL FUND
dc.subjectMUTUAL FUND FLOWS
dc.subjectMUTUAL FUND PERFORMANCE
dc.subjectMUTUAL FUNDS
dc.subjectNET RETURN
dc.subjectNET RETURNS
dc.subjectNOISE TRADERS
dc.subjectNUMBER OF INVESTOR
dc.subjectNUMBER OF INVESTORS
dc.subjectNUMBER OF SHARES
dc.subjectORDER FLOW
dc.subjectORDER FLOWS
dc.subjectPOLITICAL ECONOMY
dc.subjectPORTFOLIO
dc.subjectPORTFOLIO DIVERSIFICATION
dc.subjectPORTFOLIO PERFORMANCE
dc.subjectPORTFOLIO POSITIONS
dc.subjectPORTFOLIOS
dc.subjectPOSITIVE ABNORMAL RETURNS
dc.subjectPREDICTABILITY
dc.subjectPREVIOUS STUDIES
dc.subjectPRICE FLUCTUATIONS
dc.subjectPRIVATE SECTOR DEVELOPMENT
dc.subjectPUBLIC POLICY
dc.subjectPURCHASE PRICE
dc.subjectPURCHASING
dc.subjectRATE OF RETURN
dc.subjectRAW RETURNS
dc.subjectRETAIL
dc.subjectRETAIL INVESTOR
dc.subjectRETAIL INVESTORS
dc.subjectRETURN
dc.subjectRETURNS
dc.subjectRISK EXPOSURE
dc.subjectRISK NEUTRAL
dc.subjectROBUSTNESS CHECKS
dc.subjectSALE
dc.subjectSALES
dc.subjectSECURITIES TRANSACTION
dc.subjectSECURITIES TRANSACTIONS
dc.subjectSECURITY HOLDINGS
dc.subjectSECURITY PRICES
dc.subjectSHORT-TERM RETURNS
dc.subjectSHORT-TERM TRADING
dc.subjectSOPHISTICATED INVESTORS
dc.subjectSPREAD
dc.subjectSTOCK CHARACTERISTICS
dc.subjectSTOCK HOLDINGS
dc.subjectSTOCK MARKET
dc.subjectSTOCK PRICE
dc.subjectSTOCK RETURNS
dc.subjectSTOCKS
dc.subjectSUPPLIERS
dc.subjectTAX
dc.subjectTAX POLICY
dc.subjectTERM STRUCTURE OF INTEREST RATES
dc.subjectTIME HORIZON
dc.subjectTRADES
dc.subjectTRADING
dc.subjectTRADING ACTIVITY
dc.subjectTRADING COSTS
dc.subjectTRADING DAY
dc.subjectTRADING DAYS
dc.subjectTRADING VOLUME
dc.subjectTRANSACTION
dc.subjectTRANSACTION COST
dc.subjectTRANSACTION COSTS
dc.subjectTRANSACTION PRICE
dc.subjectTRANSACTIONS COSTS
dc.subjectTURNOVER
dc.subjectUNSOPHISTICATED INVESTOR
dc.subjectVOLATILITY
dc.subjectWEALTH
dc.titleLiquidity Clienteles : Transaction Costs and Investment Decisions of Individual Investorsen
dspace.entity.typePublication
okr.crossref.titleLiquidity Clienteles : Transaction Costs And Investment Decisions Of Individual Investors
okr.date.doiregistration2025-04-10T11:49:52.144913Z
okr.doctypePublications & Research::Policy Research Working Paper
okr.docurlhttp://www-wds.worldbank.org/external/default/main?menuPK=64187510&pagePK=64193027&piPK=64187937&theSitePK=523679&menuPK=64187510&searchMenuPK=64187283&siteName=WDS&entityID=000158349_20100526133302
okr.guid137871468157516322
okr.identifier.doi10.1596/1813-9450-5318
okr.identifier.externaldocumentum000158349_20100526133302
okr.identifier.internaldocumentum12326572
okr.identifier.reportWPS5318
okr.language.supporteden
okr.pdfurlhttp://www-wds.worldbank.org/external/default/WDSContentServer/WDSP/IB/2010/05/26/000158349_20100526133302/Rendered/PDF/WPS5318.pdfen
okr.region.administrativeThe World Region
okr.region.administrativeThe World Region
okr.unitDevelopment Research Group (DECRG)
okr.volume1 of 1
relation.isSeriesOfPublication26e071dc-b0bf-409c-b982-df2970295c87
relation.isSeriesOfPublication.latestForDiscovery26e071dc-b0bf-409c-b982-df2970295c87
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