Just How Much Do Individual Investors Lose by Trading?

被引：485

作者：

Barber, Brad M. ^{[2
]}

Lee, Yi-Tsung ^{[3
]}

Liu, Yu-Jane ^{[3
,4
]}

Odean, Terrance ^{[1
]}

机构：

[1] Univ Calif Berkeley, Haas Sch Business, Berkeley, CA 94720 USA

[2] Univ Calif Berkeley, Grad Sch Management, Berkeley, CA 94720 USA

[3] Natl Chengchi Univ, Taipei, Taiwan

[4] Peking Univ, Guanghua Sch, Beijing, Peoples R China

来源：

REVIEW OF FINANCIAL STUDIES | 2009年 / 22卷 / 02期

基金：

中国国家自然科学基金; 美国国家科学基金会;

关键词：

MUTUAL FUND PERFORMANCE; PROBABILITY JUDGMENT ACCURACY; INVESTMENT PERFORMANCE; HEDGE FUNDS; STOCK; PRICE; RETURNS; TRADERS; DETERMINANTS; BEHAVIOR;

D O I：

10.1093/rfs/hhn046

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Individual investor trading results in systematic and economically large losses. Using a complete trading history of all investors in Taiwan, we document that the aggregate portfolio of individuals suffers an annual performance penalty of 3.8 percentage points. Individual investor losses are equivalent to 2.2% of Taiwan's gross domestic product or 2.8% of the total personal income. Virtually all individual trading losses can be traced to their aggressive orders. In contrast, institutions enjoy an annual performance boost of 1.5 percentage points, and both the aggressive and passive trades of institutions are profitable. Foreign institutions garner nearly half of institutional profits.

引用

页码：609 / 632

页数：24

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