Who are the value and growth investors? : [Version April 2014]
- This paper investigates the determinants of value and growth investing in a large administrative panel of Swedish residents over the 1999-2007 period. We document strong relationships between a household’s portfolio tilt and the household’s financial and demographic characteristics. Value investors have higher financial and real estate wealth, lower leverage, lower income risk, lower human capital, and are more likely to be female than the average growth investor. Households actively migrate to value stocks over the life-cycle and, at higher frequencies, dynamically offset the passive variations in the value tilt induced by market movements. We verify that these results are not driven by cohort effects, financial sophistication, biases toward popular or professionally close stocks, or unobserved heterogeneity in preferences. We relate these household-level results to some of the leading explanations of the value premium.
| Author: | Sebastien Betermier, Laurent E. Calvet, Paolo Sodini |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-338321 |
| URL: | https://www.ifk-cfs.de/2411.html |
| Parent Title (German): | Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 455 |
| Series (Serial Number): | CFS working paper series (455) |
| Publisher: | Center for Financial Studies |
| Place of publication: | Frankfurt, M. |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2014 |
| Year of first Publication: | 2014 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2014/05/28 |
| Tag: | Asset pricing; Household finance; Human capital; Portfolio allocation; Value premium |
| Issue: | Version April 2014 |
| Page Number: | 116 |
| Note: | First Version: October 2013 ; This Version: April 2014 |
| HeBIS-PPN: | 349979448 |
| Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Licence (German): |  Deutsches Urheberrecht |
