PORTFOLIO CONCENTRATION AND THE PERFORMANCE OF INDIVIDUAL INVESTORS

摘要：

This paper tests whether information advantages help explain why some individual investors concentrate their stock portfolios in a few stocks. Stock investments made by households that choose to concentrate their brokerage accounts in a few stocks outperform those made by households with more diversified accounts (especially among those with large portfolios). Excess returns of concentrated relative to diversified portfolios are stronger for stocks not included in the S&P 500 index and local stocks, potentially reflecting concentrated investors’ successful exploitation of information asymmetries. Controlling for households’ average investment abilities, their trades and holdings perform better when their portfolios include fewer stocks.

作者: Zoran Ivkovi(c) Clemens Sialm Scott Weisbenner

作者单位: Department of Finance, University of Illinois at Urbana Champaign, 340 Wohlers Hall, 1206 South Sixt Department of Finance, Stephen M.Ross School of Business, University of Michigan, 701 Tappan St., An Department of Finance, University of Illinois at Urbana-Champaign, 340 Wohlers Hall, 1206 South Sixt

会议类型: 国际会议

会议名称: 2007年中国金融国际年会

会议地点: 成都

会议语种:英文

页码: 1-60

在线出版日期: 2007-07-09（万方平台首次上网日期，不代表论文的发表时间）