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Professor Sebastien Betermier wins 2015 CFR Best Paper Award听at the 14th Colloquium on Financial Markets

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鈥淲ho are the Value and Growth Investors?鈥�

Authors:听 Sebastien Betermier, Laurent Calvet and Paolo Sodini

Abstract: This paper investigates the determinants of value and growth investing in a large administrative panel of Swedish residents over the 1999-2007 period. We document strong relationships between a household鈥檚 portfolio tilt and the household鈥檚 financial and demographic characteristics. Value investors have higher financial and real estate wealth, lower leverage, lower income risk, lower human capital, and are more likely to be female than the average growth investor. Households actively migrate to value stocks over the life-cycle and, at higher frequencies, dynamically offset the passive variations in the value tilt induced by market movements. We verify that these results are not driven by cohort effects, financial sophistication, biases toward popular or professionally close stocks, or unobserved heterogeneity in preferences. We relate these household-level results to some of the leading explanations of the value premium.

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Founded in 2004, The Centre for Financial Research (CFR) is a research institute at the University of Cologne and conducts independent, cutting-edge research of practical relevance in the area of financial markets. The central goal of the CFR is to generate new knowledge in the field of financial markets and thus to contribute to the solution of problems arising in practice.听

Read more about the Colloqium:听, April 20, 2015