A1625
Title: What do the portfolios of individual investors reveal about the cross-section of equity returns
Authors: Laurent Calvet - EDHEC (France) [presenting]
Sebastien Betermier - McGill University (Canada)
Samuli Knupfer - BI Business School (Norway)
Jens Kverner - Tilburg University (Netherlands)
Abstract: A parsimonious set of equity factors is constructed by sorting stocks according to the sociodemographic characteristics of the individual investors who own them. The analysis uses administrative data on the stockholdings of Norwegian investors in 1997-2018. Consistent with financial theory, a mature-minus-young factor, a high wealth-minus low wealth factor, and the market factor price stock returns. Our three factors span size, value, investment, profitability, and momentum, and perform well in out-of-sample bootstrap tests. The tilts of investor portfolios toward the new factors are driven by wealth, indebtedness, macroeconomic exposure, age, gender, education, and investment experience. Our results are consistent with hedging and sentiment jointly driving portfolio decisions and equity premia.
