| Summary: | 碩士 === 國立暨南國際大學 === 財務金融學系 === 97 === Markowitz’s Modern portfolio theory suggests that investors hold diversified portfolio to eliminate idiosyncratic risk. However, literatures find household hold concentrated portfolios. We doubt the application of traditional portfolio choice in real world and examine the relationship between portfolio concentration choice and performance of household investors under considering information costs. Our research focus on whether information advantages can explain some individual investors concentrate their portfolio in a few stocks. Firstly, we examine the relationship between the degree of concentration and the performance of household, and then we measure the information effect on concentration by controlling stock characteristics.
Our findings indicate the impact of concentration on performance is different between small individual investors and large individual investors. Small individuals who choose to concentrate in specific stocks/industries outperform those hold more diversified portfolios; on the other hands, large individuals earn better performance thorough holding well-diversified portfolios. Furthermore, information indeed plays an important role to explain individual investors concentrate on some stocks. Although information can explain all households' portfolio choices, large individuals could enjoy better performance not only by taking advantage of information but also by adopting diversification strategy. Finally, regression results indicate that the excess holding weight of a stock (or an industry) is significantly influenced by trading information experience.
|
|---|
