Autori
Cooper, RusselBonaparte, YosefTitolo
Rationalizing Trading Frequency and ReturnsPeriodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papersAnno:
2010 - Fascicolo:
25 - Pagina iniziale:
1 - Pagina finale:
15Barber and Odean (2000) study the relationship between trading frequency and returns. They find that households who trade more frequently have a lower net return than other households. But all households have about the same gross return. They argue that these results cannot emerge from a model with rational traders and instead attribute these findings to overconfidence. Using a dynamic optimization approach, we find that neither a model with rational agents facing adjustment costs nor various models of overconfidence fit these facts.
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