The Cost of Investment Hubris
研究了缺乏真实能力的投资者进行股票选择和市场择时活动的风险调整后成本，发现无信息市场择时的年化成本约为1.3%，无信息股票选择的成本与持股数量成反比，持有20只股票时年化成本约0.8%。
Many active investors engage in stock selection and market timing. Some may have genuine abilities in doing so. But what is the cost of these activities for investors who believe they possess such abilities but actually don’t? The author derives analytical expressions for these costs, above and beyond direct trading costs, and finds that the risk-adjusted cost of uninformed market timing is quadratic in the market expected return and is about 1.3% per annum. The cost of uninformed stock selection is inversely proportional to the number of stocks held: For <italic>N</italic> = 20 stocks, it is about 0.8% per annum. These results should serve as a warning for active managers and investment boards: Getting it right half of the time does not yield average performance, but much less.