Scandinavian Working Papers in Economics

UiS Working Papers in Economics and Finance,
University of Stavanger

No 2009/19: Liquidity and Asset Pricing: Evidence on the Role of Investor Holding Period

Randi Naes and Bernt Arne Ødegaard ()
Additional contact information
Randi Naes: Ministry of Industry
Bernt Arne Ødegaard: University of Stavanger, Postal: University of Stavanger, NO-4036 Stavanger, Norway

Abstract: We use data on actual holding periods for all investors in a stock market over a 10-year 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. Average holding periods differ across different investor types. Turnover is an imperfect proxy for holding period. While both turnover and spread are related to stock returns, holding period is not.

Keywords: Market microstructure; Holding period; duration

JEL-codes: G10; G11; G12

40 pages, March 1, 2009

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uis_wps_2009_19_naes_odegaard.pdf PDF-file

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