Can Individual Investors Beat the Market?
Can Individual Investors Beat the Market?
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个人投资者能否战胜市场？
DOI：
10.2139/ssrn.364000
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
Tyler Shumway
中科院分区：
文献类型：
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作者：
Joshua D. Coval;D. Hirshleifer;Tyler Shumway
我们记录了一部分个人投资者持续的上级交易表现。在我们样本的前半部分，被归类为表现最好的十分位数的投资者随后获得了每年约6%的风险调整回报。这些回报并不局限于投资者可能拥有内幕消息的股票，也不是由非流动性股票驱动的。我们的研究结果表明，熟练的个人投资者利用市场效率低下（或可能有条件的风险溢价）赚取异常利润，超过任何利润，可从众所周知的战略的基础上规模，价值，势头，或盈利公告。(JEL G11、G14、G40、G51）
投稿时间：2020 - 10 - 11编审时间：2021 - 01 - 04编辑：Jeffrey Pontiff
We document persistent superior trading performance among a subset of individual investors. Investors classified in the top performance decile in the first half of our sample subsequently earn risk-adjusted returns of about 6% per year. These returns are not confined to stocks in which the investors are likely to have inside information, nor are they driven by illiquid stocks. Our results suggest that skilled individual investors exploit market inefficiencies (or perhaps conditional risk premiums) to earn abnormal profits, above and beyond any profits available from well-known strategies based on size, value, momentum, or earnings announcements. (JEL G11, G14, G40, G51)
Received: October 11, 2020 Editorial decision: January 4, 2021 Editor: Jeffrey Pontiff