Who Are the Value and Growth Investors?

• 成果类型: Article
• 署名作者: Betermier, Sebastien; Calvet, Laurent E.; Sodini, Paolo
• 署名单位: McGill University; Universite Catholique de Lille; EDHEC Business School; Centre for Economic Policy Research - UK; Stockholm School of Economics
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12473
• 发表日期: 2017
• 页码: 5-46
• 关键词: expected stock returns; Book-to-market; portfolio choice; individual investors; asset prices; income risk; INVESTMENT PERFORMANCE; cross-section; labor income; life-cycle

摘要

This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that, over the life cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away from value. While several behavioral biases seem evident in the data, the patterns we uncover are overall remarkably consistent with the portfolio implications of risk-based theories of the value premium.