The investment behavior and performance of various investor types: a study of Finland's unique data set

• 成果类型: Article
• 署名作者: Grinblatt, M; Keloharju, M
• 署名单位: University of California System; University of California Los Angeles; Aalto University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00044-6
• 发表日期: 2000
• 页码: 43-67
• 关键词: Investor behavior; momentum; performance; international stock returns

摘要

Using data from Finland, this study analyzes the extent to which past returns determine the propensity to buy and sell. It also analyzes whether these differences in past-return-based behavior and differences in investor sophistication drive the performance of various investor types. We find that foreign investors tend to be momentum investors, buying past winning stocks and selling past losers. Domestic investors, particularly households, tend to be contrarians. The distinctions in behavior are consistent across a variety of past-return intervals. The portfolios of foreign investors seem to outperform the portfolios of households, even after controlling for behavior differences. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: G10.