| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14177 |
| 来源ID | Working Paper 14177 |
| Fight or Flight? Portfolio Rebalancing by Individual Investors | |
| Laurent E. Calvet; John Y. Campbell; Paolo Sodini | |
| 发表日期 | 2008-07-18 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Microeconomics ; Households and Firms ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w14177 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571851 |
| 推荐引用方式 GB/T 7714 | Laurent E. Calvet,John Y. Campbell,Paolo Sodini. Fight or Flight? Portfolio Rebalancing by Individual Investors. 2008. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14177.pdf（2689KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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