Do Portfolio Distortions Reflect Superior Information or Psychological Biases?
利用人口统计学代理变量衡量投资者聪明程度，发现聪明投资者的组合偏离反映信息优势，而愚蠢投资者的组合偏离反映心理偏差，聪明投资者年化风险调整后收益高出约3%。
Abstract Using a demographics-based proxy for smartness, we show that the portfolio distortions of “smart” investors reflect an informational advantage, while the distortions of “dumb” investors reflect psychological biases. Specifically, smart investors outperform dumb investors by about 3% annually on a risk-adjusted basis. Furthermore, among investors with high portfolio distortions, smart investors outperform passive benchmarks by 2%, and the smart-dumb performance differential is 5%. At the stock level, a portfolio of stocks with smart investor clientele outperforms the dumb clientele portfolio by 3.50% annually. These findings suggest that behavioral and information-based explanations for portfolio distortions apply to distinct subsets of investors.