This paper examines the relation between equity portfolio diversification choices of individual investors and stock returns. Using a six-year panel (1991-96) of individual investors, I find that stocks with less diversified individual investor clientele earn higher returns. A zero cost portfolio...

For nearly three decades, scientific studies have explored momentum investing strategies and observed stable excess returns in various financial markets. However, the trading strategies typically analyzed in such research are not accessible to individual investors due to short selling...

For nearly three decades, scientific studies have explored momentum investing strategies and observed stable excess returns in various financial markets. However, the trading strategies typically analyzed in such research are not accessible to individual investors due to short selling...

This paper uses macroeconomic data to measure the consumption of active investors that are wealthy and derive a large fraction of their income from the capital they own. The resulting stochastic discount factor is tested on the time series and cross section of asset returns and yields reasonable...

Behavioral biases like disposition effect and over-confidence have received much attention as a potential driver of numerous anomalies observed in the markets. Also, it has been argued that information uncertainty tends to exacerbate these biases and induce stronger irrational behavior among...

Behavioral biases like disposition effect and overconfidence have received much attention as a potential driver of numerous anomalies observed in the markets. Also, it has been argued that information uncertainty tends to exacerbate these biases and induce stronger irrational behavior among...

We utilize seventeen years of comprehensive daily portfolio and trading data identified at the individual investor level, to analyze the relative trading performance of the entire universe of households, all domestic financial institutions and all foreign institutions in the Finnish market. We...

Investing in financial securities inevitably involves risks on the one hand and opportunities on the other hand. This thesis bundles four different studies on risks and/or opportunities in financial markets. In one study, we examine the cross-sectional explanatory power of different...

This paper offers theoretical, empirical, and simulated evidence that momentum regularities in asset prices are not anomalies. Within a general, frictionless, rational expectations, risk-based asset pricing framework, riskier assets tend to be in the loser portfolios after (large) increases in...