1. Who Are the Value and Growth Investors?
- Author
-
Paolo Sodini, Laurent E. Calvet, Sebastien Betermier, Groupement de Recherche et d'Etudes en Gestion à HEC (GREGH), Ecole des Hautes Etudes Commerciales (HEC Paris)-Centre National de la Recherche Scientifique (CNRS), Department of Finance, Stockholm School of Economics (SSE), and HEC Paris Research Paper Series
- Subjects
Economics and Econometrics ,Leverage (finance) ,Financial economics ,asset pricing,value premium,household finance,portfolio allocation,human capital,G-SIFIs ,value premium ,Real estate ,Growth investing ,Human capital ,household finance ,Market value added ,Accounting ,0502 economics and business ,factor-based investing ,JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions ,Value premium ,Economics ,Capital asset pricing model ,human capital ,Balance sheet ,050207 economics ,050208 finance ,05 social sciences ,portfolio allocation ,Asset pricing ,jel:G12 ,jel:G11 ,Value (economics) ,[SHS.GESTION]Humanities and Social Sciences/Business administration ,Portfolio ,Demographic economics ,Value (mathematics) ,JEL: G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates ,Finance - Abstract
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.
- Published
- 2017