All Guts, No Glory: Trading and Diversification among Online Investors
利用瑞典在线折扣经纪商的交易数据，发现投资者普遍持有分散化不足的投资组合、偏好风险且交易频繁；交易成本导致业绩受损，而分散化程度作为投资者技能的代理变量，对业绩有独立正向影响。
Abstract I explore cross‐sectional portfolio performance in a sample containing 324,736 transactions conducted by 16,831 Swedish investors at an Internet discount brokerage firm during the period May 1999 to March 2002. On average, investors hold undiversified portfolios, show a strong preference for risk, and trade aggressively. I measure performance using a panel data model, and explain the cross‐sectional variation using investors' turnover, portfolio size and degree of diversification. I find that turnover is harmful to performance due to fees, and is therefore more predominant among investors with small portfolios. I argue that the degree of diversification is a proxy for investor skill, and it has a separate and distinct positive effect on performance. Investors underperform the market by about 8.5% per year on average, of which half can be attributed to trading costs.