Individual Investor Activity and Performance

• 成果类型: Article
• 署名作者: Dahlquist, Magnus; Martinez, Jose Vicente; Soderlind, Paul
• 署名单位: Stockholm School of Economics; Centre for Economic Policy Research - UK; University of Connecticut; University of St Gallen
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw093
• 发表日期: 2017
• 页码: 866
• 关键词: consistent covariance-matrix; mutual fund performance; stock returns; SWEDISH EXPERIENCE; FINANCIAL ADVICE; savings behavior; money; FLOWS; smart; DYNAMICS

摘要

We examine the daily activity and performance of a large panel of individual investors from Sweden's Premium Pension System. We find that active investors earn higher returns and risk-adjusted returns than do inactive investors. A performance decomposition analysis reveals that most outperformance by active investors is the result of active investors successfully timing mutual funds and asset classes. While activity is beneficial for some investors, extreme flows out of mutual funds affect funds' net asset values negatively for all investors. Financial advisors, by contributing to coordinate investments and redemptions, exacerbate these negative effects.