FIGHT OR FLIGHT? PORTFOLIO REBALANCING BY INDIVIDUAL INVESTORS
FIGHT OR FLIGHT? PORTFOLIO REBALANCING BY INDIVIDUAL INVESTORS
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DOI：
10.1162/qjec.2009.124.1.301
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发表时间：
2009-02-01
影响因子：
13.7
通讯作者：
Sodini, Paolo
中科院分区：
文献类型：
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作者：
Calvet, Laurent E.;Campbell, John Y.;Sodini, Paolo
本文探讨了动态的个人投资组合在一个独特的数据集，包含在瑞典的所有家庭的分类财富。在1999年至2002年期间，我们观察到参与者的金融投资组合几乎没有总体再平衡。这些模式掩盖了强有力的家庭层面的积极再平衡证据，平均抵消了风险资产份额中约一半的特殊被动变化。富有、受过良好教育的投资者拥有更好的多元化投资组合，往往会更积极地进行再平衡。我们发现一些证据表明，随着家庭变得更富有，他们会重新平衡，转向更大的风险份额。我们还研究交易单个资产的决策。家庭更有可能完全出售直接持有的股票，如果这些股票表现良好，更有可能退出直接持股，如果他们的股票投资组合表现良好，但这些关系是弱得多的共同基金，这种模式是一致的，与以前的研究直接股东之间的处置效果和共同基金投资者的业绩敏感性。然而，当家庭继续持有个人资产时，他们会重新平衡股票和共同基金，以抵消个人资产份额中约六分之一的被动变化。如果风险投资组合表现不佳，家庭主要通过调整风险资产的购买来实现再平衡，如果风险投资组合表现良好，则通过调整基金购买和全部出售股票来实现再平衡。最后，对于拥有多元化个股投资组合的富有投资者来说，家庭完全出售获胜股票的趋势较弱。
This paper investigates the dynamics of individual portfolios in a unique data set containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong household-level evidence of active rebalancing, which on average offsets about one-half of idiosyncratic passive variations in the risky asset share. Wealthy, educated investors with better diversified portfolios tend to rebalance more actively. We find some evidence that households rebalance toward a greater risky share as they become richer. We also study the decisions to trade individual assets. Households are more likely to fully sell directly held stocks if those stocks have performed well, and more likely to exit direct stockholding if their stock portfolios have performed well; but these relationships are much weaker for mutual funds, a pattern that is consistent with previous research on the disposition effect among direct stockholders and performance sensitivity among mutual fund investors. When households continue to hold individual assets, however, they rebalance both stocks and mutual funds to offset about one-sixth of the passive variations in individual asset shares. Households rebalance primarily by adjusting purchases of risky assets if their risky portfolios have performed poorly, and by adjusting both fund purchases and full sales of stocks if their risky portfolios have performed well. Finally, the tendency for households to fully sell winning stocks is weaker for wealthy investors with diversified portfolios of individual stocks.