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Fight or flight? portfolio rebalancing by individual investors-super-. The Quarterly (2009)
| Venue: | Journal of Economics |
| Citations: | 94 - 12 self |
BibTeX
@ARTICLE{Calvet09fightor,
author = {Laurent E. Calvet and John Y. Campbell and Paolo Sodini},
title = {Fight or flight? portfolio rebalancing by individual investors-super-. The Quarterly},
journal = {Journal of Economics},
year = {2009},
pages = {301--348}
}
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Abstract
under a Research Grant to Sodini, the HEC Foundation, the National Science Foundation under Grant This paper investigates the dynamics of individual portfolios in a unique dataset containing the disaggregated wealth and income of all households in Sweden. Between 1999 and 2002, the average share of risky assets in the financial portfolio of participants fell moderately, implying little aggregate rebalancing in response to the decline in risky asset prices during this period. We show that these aggregate patterns conceal strong household-level evidence of active rebalancing, which on average offsets about one half of idiosyncratic passive variations in the risky asset share. Sophisticated households with greater education, wealth, and income, and with better diversified portfolios, tend to rebalance more actively. We find some evidence that households rebalance towards a higher risky share as they become richer. We also study the decisions to enter and exit risky financial markets, and patterns of rebalancing for individual assets. We find that households are more likely to fully sell directly held stocks if those stocks have performed well, and more
Keyphrases
individual investors-super portfolio rebalancing individual asset household rebalance financial portfolio diversified portfolio research grant individual portfolio risky asset share aggregate pattern hec foundation disaggregated wealth sophisticated household risky asset price national science foundation average offset unique dataset active rebalancing average share strong household-level evidence idiosyncratic passive variation risky asset risky financial market risky share
