INDIVIDUAL INVESTOR PORTFOLIO PERFORMANCE AND TRADING BEHAVIOR (FINANCE MANAGEMENT TAXATION)
Abstract
This study is divided into two parts. The first examines the long run common stock portfolio performance record of a large sample of individual investors for the period 1971-79. Different performance evaluation models are applied in this direction given the lack of academic consensus on the most appropriate method. The models used are the one and two parameter asset pricing models, the expected returns model, the market model and the market adjusted model. A single factor timing and selectivity model is also used to measure the effectiveness of individual investor timing behavior. The second part of the study investigates the trading behavior of individuals with reference to capital gains taxation. The holding period distinction and the end-of-year tax-loss-selling hypothesis are examined. A model of optimal trading behavior under differential capital gains taxation is developed and empirically tested.
Degree
Ph.D.
Subject Area
Business community
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