Individual Investors and Local Bias
研究个人投资者是否拥有关于本地股票的价值相关信息，通过持有和交易组合分析发现本地股票交易表现不佳，不支持投资者具有信息优势的观点。
ABSTRACT The paper tests whether individuals have value‐relevant information about local stocks (where “local” is defined as being headquartered near where an investor lives). Our methodology uses two types of calendar‐time portfolios—one based on holdings and one based on transactions. Portfolios of local holdings do not generate abnormal performance (alphas are zero). When studying transactions, purchases of local stocks significantly underperform sales of local stocks. The underperformance remains when focusing on stocks with potentially high levels of information asymmetries. We conclude that individuals do not help incorporate information into stock prices. Our conclusions directly contradict existing studies.