Investors' holding periods determine how transaction costs are amortized and priced as liquidity premium in asset returns. Using a dataset containing two million trades made by over 66,000 households, this paper shows that transaction costs are an important determinant of investors' holding...

This study investigates whether retail and institutional investors concentrate their trading among certain stock categories (i.e., habitats) and whether their trading activities generate return comovements among stocks within those habitats. Our results indicate that both retail and...

We show that stock prices underreact when there is a political event, reflected in higher momentum returns. We conjecture that political news crowds out stock news cause investors to distract, trade more indexes and underreact to firm specific news. We analyze momentum returns following general...