Do Portfolio Distortions Reflect Superior Information or Psychological Biases?
作者: George M. KorniotisAlok Kumar
作者单位: 11 gkorniotis@miami.edu
2 2 akumar@miami.edu , School of Business Administration , University of Miami , PO Box 248027 , Coral Gables , FL 33124 .
刊名: Journal of Financial and Quantitative Analysis, 2013, Vol.48 (1), pp.1-45
来源数据库: Cambridge University Press Journal
DOI: 10.1017/S0022109012000610
原始语种摘要: Abstract Using a demographics-based proxy for smartness, we show that the portfolio distortions of “smart” investors reflect an informational advantage, while the distortions of “dumb” investors reflect psychological biases. Specifically, smart investors outperform dumb investors by about 3% annually on a risk-adjusted basis. Furthermore, among investors with high portfolio distortions, smart investors outperform passive benchmarks by 2%, and the smart-dumb performance differential is 5%. At the stock level, a portfolio of stocks with smart investor clientele outperforms the dumb clientele portfolio by 3.50% annually. These findings suggest that behavioral and information-based explanations for portfolio distortions apply to distinct subsets of investors.
全文获取路径: Cambridge U Press 
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关键词翻译
关键词翻译
  • clientele 同client
  • stocks 足枷
  • informational 信息的
  • portfolio 公事包
  • investor 客商
  • smart 修]灵巧[便,敏
  • outperform 优越
  • reflect 反射
  • level 水准
  • distinct 相异的