Can Individual Investors Beat the Market?

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-06-28 DOI:10.1093/rapstu/raab017

Joshua D Coval, David Hirshleifer, Tyler Shumway

引用次数: 0

Abstract

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

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个人投资者能跑赢大盘吗?

我们记录了一小部分个人投资者持续优异的交易表现。在我们的样本中，前半年表现最好的十分之一的投资者随后每年获得约6%的风险调整回报率。这些回报并不局限于投资者可能掌握内幕消息的股票，也不受流动性差的股票驱动。我们的研究结果表明，熟练的个人投资者利用市场的低效率(或者可能是有条件的风险溢价)来赚取异常利润，超过基于规模、价值、势头或收益公告的知名策略所能获得的任何利润。(JEL G11, G14, G40, G51)收稿日期:2020年10月11日编辑决定:2021年1月4日编辑:Jeffrey Pontiff

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.