Fight or flight?: Portfolio rebalancing by individual investors
"This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong household-...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2008
|
| Schriftenreihe: | Working paper series / National Bureau of Economic Research
14177 |
| Online-Zugang: | Volltext |
| Zusammenfassung: | "This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong household-level evidence of active rebalancing, which on average offsets about one half of idiosyncratic passive variations in the risky asset share. Wealthy, educated investors with better diversified portfolios tend to rebalance more actively. We find some evidence that households rebalance towards a higher risky share as they become richer. We also study the decisions to trade individual assets. Households are more likely to fully sell directly held stocks if those stocks have performed well, and more likely to exit direct stockholding if their stock portfolios have performed well; but these relationships are much weaker for mutual funds, a pattern which is consistent with previous research on the disposition effect among direct stockholders and performance sensitivity among mutual fund investors. When households continue to hold individual assets, however, they rebalance both stocks and mutual funds to offset about one sixth of the passive variations in individual asset shares. Households rebalance primarily by adjusting purchases of risky assets if their risky portfolios have performed poorly, and by adjusting both fund purchases and full sales of stocks if their risky portfolios have performed well. Finally, the tendency for households to fully sell winning stocks is weaker for wealthy investors with diversified portfolios of individual stocks"--National Bureau of Economic Research web site |
| Beschreibung: | 32, [12] S. graph. Darst. 22 cm |
Internformat
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| 520 | 8 | |a "This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong household-level evidence of active rebalancing, which on average offsets about one half of idiosyncratic passive variations in the risky asset share. Wealthy, educated investors with better diversified portfolios tend to rebalance more actively. We find some evidence that households rebalance towards a higher risky share as they become richer. We also study the decisions to trade individual assets. Households are more likely to fully sell directly held stocks if those stocks have performed well, and more likely to exit direct stockholding if their stock portfolios have performed well; but these relationships are much weaker for mutual funds, a pattern which is consistent with previous research on the disposition effect among direct stockholders and performance sensitivity among mutual fund investors. When households continue to hold individual assets, however, they rebalance both stocks and mutual funds to offset about one sixth of the passive variations in individual asset shares. Households rebalance primarily by adjusting purchases of risky assets if their risky portfolios have performed poorly, and by adjusting both fund purchases and full sales of stocks if their risky portfolios have performed well. Finally, the tendency for households to fully sell winning stocks is weaker for wealthy investors with diversified portfolios of individual stocks"--National Bureau of Economic Research web site | |
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| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:33Z |
| indexdate | 2024-07-09T21:25:16Z |
| institution | BVB |
| language | English |
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| physical | 32, [12] S. graph. Darst. 22 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
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| publisher | National Bureau of Economic Research |
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| series2 | Working paper series / National Bureau of Economic Research |
| spelling | Calvet, Laurent E. 1969- Verfasser (DE-588)128649739 aut Fight or flight? Portfolio rebalancing by individual investors Laurent E. Calvet ; John Y. Campbell ; Paolo Sodini Cambridge, Mass. National Bureau of Economic Research 2008 32, [12] S. graph. Darst. 22 cm txt rdacontent n rdamedia nc rdacarrier Working paper series / National Bureau of Economic Research 14177 "This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth of all households in Sweden. Between 1999 and 2002, we observe little aggregate rebalancing in the financial portfolio of participants. These patterns conceal strong household-level evidence of active rebalancing, which on average offsets about one half of idiosyncratic passive variations in the risky asset share. Wealthy, educated investors with better diversified portfolios tend to rebalance more actively. We find some evidence that households rebalance towards a higher risky share as they become richer. We also study the decisions to trade individual assets. Households are more likely to fully sell directly held stocks if those stocks have performed well, and more likely to exit direct stockholding if their stock portfolios have performed well; but these relationships are much weaker for mutual funds, a pattern which is consistent with previous research on the disposition effect among direct stockholders and performance sensitivity among mutual fund investors. When households continue to hold individual assets, however, they rebalance both stocks and mutual funds to offset about one sixth of the passive variations in individual asset shares. Households rebalance primarily by adjusting purchases of risky assets if their risky portfolios have performed poorly, and by adjusting both fund purchases and full sales of stocks if their risky portfolios have performed well. Finally, the tendency for households to fully sell winning stocks is weaker for wealthy investors with diversified portfolios of individual stocks"--National Bureau of Economic Research web site Campbell, John Y. 1958- Verfasser (DE-588)124799906 aut Sodini, Paolo 1968- Verfasser (DE-588)128650680 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.> NBER working paper series 14177 (DE-604)BV002801238 14177 http://papers.nber.org/papers/w14177.pdf kostenfrei Volltext |
| spellingShingle | Calvet, Laurent E. 1969- Campbell, John Y. 1958- Sodini, Paolo 1968- Fight or flight? Portfolio rebalancing by individual investors |
| title | Fight or flight? Portfolio rebalancing by individual investors |
| title_auth | Fight or flight? Portfolio rebalancing by individual investors |
| title_exact_search | Fight or flight? Portfolio rebalancing by individual investors |
| title_exact_search_txtP | Fight or flight? Portfolio rebalancing by individual investors |
| title_full | Fight or flight? Portfolio rebalancing by individual investors Laurent E. Calvet ; John Y. Campbell ; Paolo Sodini |
| title_fullStr | Fight or flight? Portfolio rebalancing by individual investors Laurent E. Calvet ; John Y. Campbell ; Paolo Sodini |
| title_full_unstemmed | Fight or flight? Portfolio rebalancing by individual investors Laurent E. Calvet ; John Y. Campbell ; Paolo Sodini |
| title_short | Fight or flight? |
| title_sort | fight or flight portfolio rebalancing by individual investors |
| title_sub | Portfolio rebalancing by individual investors |
| url | http://papers.nber.org/papers/w14177.pdf |
| volume_link | (DE-604)BV002801238 |
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