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Who Are the Value and Growth Investors?
() and Sebastien Betermier
Abstract: This paper investigates the determinants of value and
growth investing in a large administrative panel of Swedish residents over
the 1999-2007 period. The authors document strong relationships between a
household's portfolio tilt and the household's financial and demographic
characteristics. Value investors have higher financial and real estate
wealth, lower leverage, lower income risk, lower human capital, and are
more likely to be female than the average growth investor. Households
actively migrate to value stocks over the life-cycle and, at higher
frequencies, dynamically offset the passive variations in the value tilt
induced by market movements. The authors verify that these results are not
driven by cohort effects, financial sophistication, biases toward popular
or professionally close stocks, or unobserved heterogeneity in preferences.
They relate these household-level results to some of the leading
explanations of the value premium.
Keywords: Value premium; household finance; portfolio allocation; human capital; (follow links to similar papers)
JEL-Codes: G11; G12; (follow links to similar papers)
66 pages, April 19, 2014
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