Performance Persistence of Individual Investors
Performance Persistence of Individual Investors
复制标题
个人投资者的业绩持续性
DOI：
10.2139/ssrn.1004454
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
R. Priestley
中科院分区：
文献类型：
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作者：
Limei Che;Oyvind Norli;R. Priestley
使用11年期间所有个人投资者的月末股票市场投资组合的独特数据，我们发现相当多的投资者表现出经济和统计上显著的业绩持续性。此外，一个长期持有之前表现最好的投资者所青睐的股票的投资组合可以获得可观的风险调整后回报。这些发现对我们如何衡量过去的表现、投资者交易的频率以及投资者投资组合的规模都是可靠的。与共同基金和养老基金的证据不同，个人投资者业绩的持续性并不集中在先前业绩不佳的投资组合中。
Using unique data on month-end stock market portfolios of all individual investors over an eleven year period, we find that a substantial number of investors exhibit economically and statistically significant performance persistence. Furthermore, a portfolio that is long in stocks previously favored by top performing investors earns a substantial risk adjusted return. These finding are robust to how we measure past performance, how often investors trade, and to the size of investors' portfolios. Unlike the evidence from mutual and pension funds, the persistence in performance of individual investors is not concentrated in portfolios with poor prior performance.