This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...

This paper investigates whether short-term momentum and long-term reversal may emerge from the wealth reallocation process taking place in speculative markets. We assume that there are two classes of investors who trade long-lived assets by holding constantly rebalanced portfolios based on their...

An investment that is characterized by exit flexibility requires both decisions on investment and holding period. As selling an investment often leads to tax-liable capital gains and capital gains crucially depend on the duration of an investment we investigate the impact of capital gains...

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...

An investment that is characterized by exit flexibility requires both decisions on investment and holding period. As selling an investment often leads to tax-liable capital gains and capital gains crucially depend on the duration of an investment we investigate the impact of capital gains...

An investment that is characterized by exit flexibility requires both decisions on investment and holding period. As selling an investment often leads to tax-liable capital gains and capital gains crucially depend on the duration of an investment we investigate the impact of capital gains...

This paper investigates determinants and consequences of net asset value discounts in listed private equity funds. Listed private equity funds share characteristics of closed-end mutual funds and traditional unlisted private equity funds and can therefore offer insights into both. Our results...