Investor Factors

• 成果类型: Article
• 署名作者: Betermier, Sebastien; Calvet, Laurent E.; Knupfer, Samuli; Kvaerner, Jens Soerlie
• 署名单位: McGill University; SKEMA Business School; Universite Cote d'Azur; Centre for Economic Policy Research - UK; Aalto University; BI Norwegian Business School; Research Institute of Industrial Economics (IFN); Tilburg University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13474
• 发表日期: 2025
• 页码: 2789-2830
• 关键词: portfolio choice; asset prices; institutional investors; cross-section; life-cycle; MARKET; RISK; consumption; returns; equilibrium

摘要

This paper develops an empirical methodology for extracting pricing factors from investor portfolio data. We apply this approach to the stockholdings of Norwegian individual investors from 1997 to 2017. A two-factor model, featuring the market portfolio and a long-short portfolio constructed from the holdings of investors sorted by age or wealth, explains both the common variation in portfolio holdings and the cross section of stock returns. Portfolio tilts toward the long-short investor factor correlate with indebtedness, macroeconomic exposure, gender, and investment experience. Our paper illustrates the benefits of using holdings data for explaining the risk premia of financial assets.