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Who Are the Value and Growth Investors?

Author

Listed:
  • Sebastien Betermier
  • Laurent E. Calvet

    (GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC - HEC Paris - Ecole des Hautes Etudes Commerciales - CNRS - Centre National de la Recherche Scientifique)

  • Paolo Sodini

    (Department of Finance - SSE - Stockholm School of Economics)

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.

Suggested Citation

  • Sebastien Betermier & Laurent E. Calvet & Paolo Sodini, 2014. "Who Are the Value and Growth Investors?," Working Papers hal-02058282, HAL.
    • Handle: RePEc:hal:wpaper:hal-02058282
    DOI: 10.2139/ssrn.2426823
    as

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    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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