REVIEW OF FINANCIAL STUDIES·(2016)doi:10.1093/rfs/hhw093·First published online: November 7, 2016

個人投資者活躍度和業績

作者：Magnus Dahlquist (Stockholm School of Economics and CEPR), José Vicente Martinez (University of Connecticut), Paul S?derlind (University of St. Gallen and CEPR)

摘要：我們研究了來自瑞典高級養老金制度的大型個人投資者的日常活動和績效。我們發現，活躍的投資者會比不活躍的投資者獲得更高的回報和風險調整回報。一個績效分解分析表明，活躍投資者表現更優是由于活躍投資者成功地進行了共同基金和資産類别的擇時。雖然活躍性對某些投資者是有利的，但是共同基金的極度流出會對所有投資者的基金資産淨值帶來負面影響。财務顧問通過協調投資和贖回加劇了這些負面影響。

Individual Investor Activity and Performance

Magnus Dahlquist (Stockholm School of Economics and CEPR), José Vicente Martinez (University of Connecticut), Paul S?derlind (University of St. Gallen and CEPR)

ABSTRACT

We examine the daily activity and performance of a large panel of individual investors from Sweden's Premium Pension System. We find that active investors earn higher returns and risk-adjusted returns than do inactive investors. A performance decomposition analysis reveals that most outperformance by active investors is the result of active investors successfully timing mutual funds and asset classes. While activity is beneficial for some investors, extreme flows out of mutual funds affect funds’ net asset values negatively for all investors. Financial advisors, by contributing to coordinate investments and redemptions, exacerbate these negative effects.

原文鍊接：

http://rfs.oxfordjournals.org/content/early/2016/11/07/rfs.hhw093.abstract?sid=7384c913-269a-4c7f-9649-1888ae8160a6

翻譯：何杉