Toggle Main Menu Toggle Search

Open Access padlockePrints

Are Investors Consistent in their Trading Strategies? An Examination of Individual Investor-Level Data.

Lookup NU author(s): Professor Darren Duxbury

Downloads


Licence

This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License (CC BY-NC-ND).


Abstract

While it has been demonstrated that momentum or contrarian trading strategies can be profitable in a range of institutional settings, less evidence is available concerning the actual trading strategies investors adopt. Standard definitions of momentum or contrarian trading strategies imply that a given investor applies the same strategy to both their buy and sell trades, which need not be the case. Using investor-level, transaction-based data from China, where tax effects are neutral, we examine investors’ buy-sell decisions separately to investigate how past returns impact differentially on the trading strategies investors adopt when buying and selling stock. After controlling for a wide range of stock characteristics, extreme price changes and portfolio value, a clear asymmetry in trading is observed; with investors displaying momentum behavior when buying stocks, but contrarian behavior when selling stocks. This asymmetry in behavior is not driven purely by reactions to stock characteristics or extreme stocks. We discuss behavioral and cultural explanations for our findings.


Publication metadata

Author(s): Duxbury D, Yao S

Publication type: Article

Publication status: Published

Journal: International Review of Financial Analysis

Year: 2017

Volume: 52

Pages: 77-87

Print publication date: 01/07/2017

Online publication date: 13/05/2017

Acceptance date: 12/05/2017

ISSN (print): 1057-5219

ISSN (electronic): 1873-8079

Publisher: Elsevier BV

URL: https://doi.org/10.1016/j.irfa.2017.05.001

DOI: 10.1016/j.irfa.2017.05.001


Altmetrics

Altmetrics provided by Altmetric


Actions

Find at Newcastle University icon    Link to this publication


Share