NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Rationalizing Trading Frequency and Returns

Yosef Bonaparte, Russell Cooper

NBER Working Paper No. 16022
Issued in May 2010
NBER Program(s):   EFG

Barber and Odean (2000) study the relationship between trading frequency andreturns. They find that households who trade more frequently have a lower net return than other households. But all households have about the same gross return. They argue that these results cannot emerge from a model with rational traders and instead attribute these findings to overconfidence. Using a dynamic optimization approach, we find that neither a model with rational agents facing adjustment costs nor various models of overconfidence fit these facts.

download in pdf format
   (224 K)

email paper

This paper is available as PDF (224 K) or via email.

This paper was revised on December 5, 2011

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w16022

Users who downloaded this paper also downloaded these:
Bonaparte and Cooper w15227 Costly Portfolio Adjustment
Bonaparte, Cooper, and Zhu w16957 Consumption Smoothing and Portfolio Rebalancing: The Effects of Adjustment Costs
Cooper, Haltiwanger, and Willis w15675 Euler-Equation Estimation for Discrete Choice Models: A Capital Accumulation Application
Carlin and Kogan w16187 Trading Complex Assets
Cooper w17908 Exit from a Monetary Union through Euroization: Discipline without Chaos
 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us