Just How Much Do Individual Investors Lose by Trading?

• 成果类型: Article
• 署名作者: Barber, Brad M.; Lee, Yi-Tsung; Liu, Yu-Jane; Odean, Terrance
• 署名单位: University of California System; University of California Berkeley; University of California System; University of California Berkeley; National Chengchi University; Peking University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn046
• 发表日期: 2009
• 页码: 609
• 关键词: MUTUAL FUND PERFORMANCE; PROBABILITY JUDGMENT ACCURACY; INVESTMENT PERFORMANCE; Hedge funds; STOCK; price; returns; traders; determinants; BEHAVIOR

摘要

Individual investor trading results in systematic and economically large losses. Using a complete trading history of all investors in Taiwan, we document that the aggregate portfolio of individuals suffers an annual performance penalty of 3.8 percentage points. Individual investor losses are equivalent to 2.2% of Taiwan's gross domestic product or 2.8% of the total personal income. Virtually all individual trading losses can be traced to their aggressive orders. In contrast, institutions enjoy an annual performance boost of 1.5 percentage points, and both the aggressive and passive trades of institutions are profitable. Foreign institutions garner nearly half of institutional profits.