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

个人投资者活跃度和业绩

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：我们研究了来自瑞典高级养老金制度的大型个人投资者的日常活动和绩效。我们发现，活跃的投资者会比不活跃的投资者获得更高的回报和风险调整回报。一个绩效分解分析表明，活跃投资者表现更优是由于活跃投资者成功地进行了共同基金和资产类别的择时。虽然活跃性对某些投资者是有利的，但是共同基金的极度流出会对所有投资者的基金资产净值带来负面影响。财务顾问通过协调投资和赎回加剧了这些负面影响。

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.

原文链接：

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

翻译：何杉