Who Are the Value and Growth Investors?

Sebastien Betermier, Laurent Calvet and Paolo Sodini
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Paolo Sodini: Department of Finance - SSE - Stockholm School of Economics

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Abstract: This paper investigates value and growth investing in a large administrative panel of Swedish residents. We show that over the life-cycle, households progressively shift from growth to value as they become older and their balance sheets improve. Furthermore, investors with high human capital and high exposure to macroeconomic risk tilt their portfolios away from value. While several behavioral biases seem evident in the data, the patterns we uncover are overall remarkably consistent with the portfolio implications of risk-based theories of the value premium.

Keywords: Asset pricing; factor-based investing; household finance; human capital; portfolio allocation; value premium. (search for similar items in EconPapers)
Date: 2014-04-21
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Related works:
Journal Article: Who Are the Value and Growth Investors? (2017)
Working Paper: Who Are the Value and Growth Investors? (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:hal-02058282

DOI: 10.2139/ssrn.2426823

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