scispace - formally typeset
Journal ArticleDOI

What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns?

TLDR
In this paper, the authors constructed a parsimonious set of equity factors by sorting stocks according to the sociodemographic characteristics of individual investors who own them, and analyzed the tilts of investor portfolios toward the new factors are driven by wealth, indebtedness, macroeconomic exposure, age, gender, education, and investment experience.
Abstract
We construct a parsimonious set of equity factors by sorting stocks according to the sociodemographic characteristics of the individual investors who own them. The analysis uses administrative data on the stockholdings of Norwegian investors in 1997-2018. Consistent with financial theory, a mature-minus-young factor, a high wealth-minus-low wealth factor, and the market factor price stock returns. Our three factors span size, value, investment, profitability, and momentum, and perform well in out-of-sample bootstrap tests. The tilts of investor portfolios toward the new factors are driven by wealth, indebtedness, macroeconomic exposure, age, gender, education, and investment experience. Our results are consistent with hedging and sentiment jointly driving portfolio decisions and equity premia.

read more

Citations
More filters
Journal ArticleDOI

Bubbles across Meme Stocks and Cryptocurrencies

TL;DR: In this article , the authors examined the price explosiveness of stocks whose purchase Robinhood restricted during the GameStop episode and found that those stocks comprise multiple periods of explosiveness, indicating that they are unlikely to be an epiphenomenon.
Journal ArticleDOI

Who Owns What? A Factor Model for Direct Stockholding

- 27 Mar 2023 - 
TL;DR: In this article , a cross-sectional factor model for investors' direct stockholdings and estimate it using data from almost 10 million retail accounts in the Indian stock market is presented.
References
More filters
Journal ArticleDOI

On Persistence in Mutual Fund Performance

Mark M. Carhart
- 01 Mar 1997 - 
TL;DR: Using a sample free of survivor bias, this paper showed that common factors in stock returns and investment expenses almost completely explain persistence in equity mutual fund's mean and risk-adjusted returns.
Journal ArticleDOI

The Persistence of Mutual Fund Performance

TL;DR: This article analyzed how mutual fund performance relates to past performance and found evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.
Journal ArticleDOI

Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment

TL;DR: For example, this paper found that men trade 45 percent more than women and earn annual risk-adjusted net returns that are 1.4 percent less than those earned by women, while women perform worse than men.
Posted Content

Investor Sentiment and the Cross-Section of Stock Returns

TL;DR: This article examined how investor sentiment affects the cross-section of stock returns and found that when sentiment is low, subsequent returns are relatively high on smaller stocks, high volatility stocks, unprofitable stocks, non-dividend-paying stocks, extreme-growth stocks, and distressed stocks, consistent with an initial underpricing of these stocks.
Journal ArticleDOI

Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors

TL;DR: In this paper, the authors argue that overconfidence can explain high trading levels and the resulting poor performance of individual investors, and that trading is hazardous to the wealth of individuals who hold common stocks directly.
Related Papers (5)