In this paper we use a sample of individual trading accounts in equity style funds taken from one fund family to test the hypothesis that trading styles are inherent vs. contextual. Our sample contains investors who invest either in a growth fund, a value fund or both. We document behavioral differences between growth fund investors and value fund investors. We find that their trades depend on past returns in different ways: growth fund investors tend towards momentum trading and value fund investors tend towards contrarian trading. These differences may be due to inherent clientele characteristics, including beliefs about market prices, specific personality traits and cognitive strategies that cause them to self-select into one or the other style. We use a sample of investors that trade in both types of funds to test this proposition. Consistent with the contextual hypothesis, we find that investors who hold both types of funds trade growth fund shares differently than value fund shares.
Blackburn, D. W., Goetzmann, W. N., & Ukhov, A. D. (2012). "Is trading behavior stable across contexts? Evidence from style and multi-style investors" [Electronic article]. The Center for Real Estate and Finance Working Paper Series, 2012-001, 1-49.