What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns?

94 Pages Posted: 2 Mar 2021 Last revised: 26 Feb 2022

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

Samuli Knüpfer

Aalto University School of Business; BI Norwegian Business School; Research Institute of Industrial Economics (IFN)

Jens Kvaerner

Tilburg University

Date Written: February 24, 2022

Abstract

We extract a parsimonious set of equity factors from comprehensive administrative data on the stockholdings of all Norwegian individual investors in 1996-2017. A three-factor model, featuring the market portfolio and long-short portfolios of stocks sorted by investor age or wealth, explains both the common variation in portfolio holdings and the cross-section of stock returns. Portfolio tilts toward investor factors correlate with indebtedness, macroeconomic exposure, gender, education, and investment experience. Our results are consistent with hedging and sentiment jointly driving portfolio decisions and the cross-section of equity premia.

Keywords: Asset pricing, factor-based investing, household finance, portfolio allocation.

JEL Classification: G11, G12.

Suggested Citation

Betermier, Sebastien and Calvet, Laurent E. and Knüpfer, Samuli and Kvaerner, Jens, What Do the Portfolios of Individual Investors Reveal About the Cross-Section of Equity Returns? (February 24, 2022). Available at SSRN: https://ssrn.com/abstract=3795690 or http://dx.doi.org/10.2139/ssrn.3795690

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

Samuli Knüpfer

Aalto University School of Business

P.O. Box 21210
AALTO, 00076
Finland

HOME PAGE: http://www.samuliknupfer.com

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Research Institute of Industrial Economics (IFN)

Box 55665
Grevgatan 34, 2nd floor
Stockholm, SE-102 15
Sweden

Jens Kvaerner

Tilburg University ( email )

Warandelaan 2
Tilburg, -- 4818HK
Norway
40242704 (Phone)
0364 (Fax)

HOME PAGE: http://www.jenskvaerner.com/

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
911
Abstract Views
3,656
rank
37,304
PlumX Metrics