Who Are the Value and Growth Investors?

76 Pages Posted: 21 Apr 2014 Last revised: 15 Mar 2016

See all articles by Sebastien Betermier

Sebastien Betermier

McGill University - Desautels Faculty of Management

Laurent E. Calvet

EDHEC Business School - Department of Economics & Finance; CEPR

Paolo Sodini

Stockholm School of Economics - Department of Finance; Swedish House of Finance

Date Written: February 25, 2016

Abstract

This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that over the life-cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away from value. While several behavioral biases seem evident in the data, the patterns we uncover are overall remarkably consistent with the portfolio implications of risk-based theories of the value premium.

Keywords: Asset pricing, factor-based investing, household finance, human capital, portfolio allocation, value premium.

JEL Classification: G11, G12

Suggested Citation

Betermier, Sebastien and Calvet, Laurent E. and Sodini, Paolo, Who Are the Value and Growth Investors? (February 25, 2016). Journal of Finance, Forthcoming; Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper; HEC Paris Research Paper No. FIN-2014-1043. Available at SSRN: https://ssrn.com/abstract=2426823 or http://dx.doi.org/10.2139/ssrn.2426823

Sebastien Betermier

McGill University - Desautels Faculty of Management ( email )

1001 Sherbrooke St. West
Montreal, Quebec H3A1G5 H3A 2M1
Canada

Laurent E. Calvet (Contact Author)

EDHEC Business School - Department of Economics & Finance ( email )

France

CEPR ( email )

33 Great Sutton Street
London, EC1V 0DX
United Kingdom

Paolo Sodini

Stockholm School of Economics - Department of Finance ( email )

Sveavagen 65, Box 6501
SE-113 83 Stockholm
Sweden
46 8 7369165 (Phone)
46 8 312327 (Fax)

HOME PAGE: http://www.hhs.se/secfi/People/Faculty/Finpso/finp

Swedish House of Finance ( email )

Drottninggatan 98
111 60 Stockholm
Sweden

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