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Rationalizing Trading Frequency and Returns

Yosef BonaparteRussell W. CooperMengli Sha

其他書名	Maybe Trading is Good for You
出版	National Bureau of Economic Research, 2019
URL	http://books.google.com.hk/books?id=N3mC0AEACAAJ&hl=&source=gbs_api

註釋Barber and Odean (2000) find that households who trade more have a lower net return than others and attribute this pattern to irrationality, particularly overconfidence. In contrast, we find that household financial choices generated from a dynamic optimization problem with rational agents and portfolio adjustment costs can reproduce the observed pattern of households with large turnover having lower net returns. Various forms of irrationality, modeled as beliefs about income and return processes that are not data based, do not improve the ability of the baseline model to explain these turnover and net returns patterns.