Performance Persistence of Individual Investors

38 Pages Posted: 25 Mar 2008 Last revised: 16 Feb 2009

See all articles by Limei Che

Limei Che

BI Norwegian Business School

Oyvind Norli

BI Norwegian Business School - Department of Financial Economics

Richard Priestley

Norwegian Business School

Multiple version iconThere are 2 versions of this paper

Date Written: February 15, 2009

Abstract

Using unique data on month-end stock market portfolios of all individual investors over an eleven year period, we find that a substantial number of investors exhibit economically and statistically significant performance persistence. Furthermore, a portfolio that is long in stocks previously favored by top performing investors earns a substantial risk adjusted return. These finding are robust to how we measure past performance, how often investors trade, and to the size of investors' portfolios. Unlike the evidence from mutual and pension funds, the persistence in performance of individual investors is not concentrated in portfolios with poor prior performance.

Keywords: Individual investors, performance, persistence

JEL Classification: G11, D12, D14

Suggested Citation

Che, Limei and Norli, Oyvind and Priestley, Richard, Performance Persistence of Individual Investors (February 15, 2009). Available at SSRN: https://ssrn.com/abstract=1107795 or http://dx.doi.org/10.2139/ssrn.1107795

Limei Che

BI Norwegian Business School ( email )

N-0442
Oslo
Norway

Oyvind Norli (Contact Author)

BI Norwegian Business School - Department of Financial Economics ( email )

Nydalsveien 37
Oslo, N-0442
Norway
+4746410514 (Phone)

HOME PAGE: http://https://home.bi.no/oyvind.norli/

Richard Priestley

Norwegian Business School ( email )

Nydalsveien
37
N-0442 Oslo, 0283
Norway
47 46410515 (Phone)

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