The DOI matches its Crossref record, with a small difference in title or year; 1 of the 1 references it cites were found in a registry or an index.
Can Individual Investors Beat the Market?
Abstract
We document strong persistence in the performance of trades of individual investors. The correlation of the risk-adjusted performance of an individual across sample periods is about 10 percent. Investors classified in the top performance decile in the first half of our sample subsequently outperform those in the bottom decile by about 8 percent per year. Strategies long in firms purchased by previously successful investors and short in firms purchased by previously unsuccessful investors earn abnormal returns of 5 basis points per day. These returns are not confined to small stocks nor to stocks in which the investors are likely to have inside information. Our results suggest that skillful individual investors exploit market inefficiencies to earn abnormal profits, above and beyond any profits available from well-known strategies based upon size, value, or momentum. Presentation slides are available at https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3217430
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“Several prior studies document that the lion's share of abnormal returns earned around an informed trade occurs immediately following the trade (e.g., Coval, Hirshleifer and Shumway (2005); Grinblatt, Keloharju, and Linnainmaa (2012); Barber, Lee, Liu, and Odean (2009)).”
From The cross-section of speculator skill: Evidence from day trading (2014) · cites this paper as Coval, Hirshleifer and Shumway (2005)
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“Most of the gains (and losses) from trade tend to occur immediately following a trade (see Barber, Lee, Liu, and Odean (2009), Coval, Hirshleifer, and Shumway (2005), Grinblatt, Keloharju, and Linnainmaa (2012)).”
From The cross-section of speculator skill: Evidence from day trading (2014) · cites this paper as Coval, Hirshleifer, and Shumway (2005)
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Citations
Cites
Equity Portfolio Diversification
Goetzmann, W. N., & Kumar, A. (2008) · Review of Finance · doi:10.1093/rof/rfn005 · Cited by 1,222
Research works printed but not linked: 13
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- Edwin J Elton, 1996, The persistence of risk-adjusted mutual fund performance, Journal of Business, 69, 133, 10.1086/209685 · DOI
- Eugene F Fama, 1992, The Cross Section of Expected Returns, Journal of Finance, 47, 427, 10.2307/2329112 · DOI · Paper page
- S P Ferris, 1988, Predicting Contemporary Volume with Historic Volume at Differential Price Levels: Evidence Supporting the Disposition Effect, Journal of Finance, 43, 677, 10.1111/j.1540-6261.1988.tb04599.x · DOI
- Mark Grinblatt, 2001, How Distance, Language and Culture Influence Stockholdings and Trades, Journal of Finance, 56, 1053, 10.1111/0022-1082.00355 · DOI
- William N Goetzmann, 1994, Do winners repeat? Patterns in mutual fund performance, Journal of Portfolio Management, 20, 9, 10.3905/jpm.1994.9 · DOI
- Mark Grinblatt, 1992, The persistence of mutual fund performance, Journal of Finance, 47, 1977, 10.1111/j.1540-6261.1992.tb04692.x · DOI
- Darryl Hendricks, 1993, Hot hands in mutual funds: The persistence of performance 1974-1988, Journal of Finance, 48, 93, 10.1111/j.1540-6261.1993.tb04703.x · DOI
- David Hirshleifer, 2001, Investor Psychology and Asset Pricing, Journal of Finance, 54, 1533, 10.1111/0022-1082.00379 · DOI
- David Hirshleifer, 2002, Do Individual Investors Drive Post-Earnings Announcement Drift?" Working paper
- Zoran Ivkovich, 2005, Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments, Journal of Finance, 60, 267, 10.1111/j.1540-6261.2005.00730.x · DOI
- Zoran Ivkovich, 2005, Portfolio Concentration and the Performance of Individual Investors, 10.3386/w10675 · DOI
Cited by
Sorted by citations
Do retail trades move markets?
Barber, B. M., Odean, T., & Zhu, N. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn035 · Cited by 903
Do Portfolio Distortions Reflect Superior Information or Psychological Biases?
Korniotis, G. M., & Kumar, A. (2013) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109012000610 · Cited by 166
The cross-section of speculator skill: Evidence from day trading
Barber, B. M., Lee, Y.-T., Liu, Y.-J., & Odean, T. (2014) · Journal of Financial Markets · doi:10.1016/j.finmar.2013.05.006 · Cited by 112
Metadata
- Authors
- Coval, J. D., Hirshleifer, D., & Shumway, T.
- ORCID
- Hirshleifer, David
- Publisher
- Elsevier BV
- Published
- 2003
- Cited by
- 21
- References
- 1
- Type
- Preprint
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