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Empirical investigation of the relationship between investors’ average holding periods and price informativeness

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2020
Çetin, Müge
Short-term trading is alleged to breed informational inefficiency and lead to excess volatility in stock markets. On the other hand, it is observed that investors’ average holding periods are declining steadily all over the world. There is an extensive body of theory on information heterogeneity, the impact of higher order beliefs and short-termism in asset pricing, yet empirical studies testing their implications are scarce. The objective of this thesis is to provide empirical evidence on the relationship between average holding periods and price informativeness for a marked short-term stock market, Borsa Istanbul. Results of the study have important implications for corporate decision makers and market regulators.