文献选读-交易有损你的财富.pptVIP

Reference Study Report Reference Study Report Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors * * Author: Brad M. Barber: University of California at Davis Terrance Odean: Haas School of Business, University of California at Berkeley Journal: The Journal of Finance Time : April 2000，Vol. LV(2) The investor’s chief problem—and even his worst enemy—is likely to be himself. (Benjamin Graham) Found that investors who followed a buy and hold strategy fared far better than frequent traders Trading Is Hazardous to Your Wealth * * Why to Select? 论文试图以心理学的原因来解释投资者行为 与之前的研究不同，本文第一次对那些业余投资者管理普通股的业绩进行考量。 * * Outlines Background Related research Data and methods Main descriptive results Test the models of investor overconfidence Price momentum Liquidity, rebalancing and tax-motivated trading * * Related Research Schlarbaum, Lewellen and Lease, 1978a: calculate monthly gross and net portfolio returns for 2,500 accounts at a retail brokerage firm over a seven-year period ending in December 1970. Schlarbaum, Lewellen and Lease, 1978b: analyze the gross and net returns of round-trip trades made by the same 2,500 accounts over the same period. Odean,1999: the stocks individuals sell subsequently outperform the stocks they buy. * * Data and Methods Household Account Data: 78000 households, from Jan. 1991 through Dec. 1996, 66465 households had positions in common stock at least 1 month. Measuring Return Performance Risk-Adjusted Return Performance * * Household Account DataDescriptive Statistics on Trade Size, Trade Price,Transaction Costs, and Turnover * * Household Account DataDescriptive Statistics on Trade Size, Trade Price,Transaction Costs, and Turnover * * Transaction costs The bid-ask spread component of transaction costs for purchases and sales: The commission component of transaction costs: dollar value of the commission paid scaled by the total principal value of the transaction. * * Measuring R