Hostname: page-component-8448b6f56d-sxzjt Total loading time: 0 Render date: 2024-04-23T12:58:40.376Z Has data issue: false hasContentIssue false
  • English
  • Français

Investment Performance and Investor Behavior

Published online by Cambridge University Press:  06 April 2009

Wilbur G. Lewellen ,
Ronald C. Lease  and
Gary G. Schlarbaum
Get access Rights & Permissions [Opens in a new window]

Extract

The operation and characteristics of the American securities markets have long been major preoccupations of financial research, especially during the last decade. Particular attention has been devoted to the question of whether there exist investment strategies, or investing entities, capable of producing consistently superior investment performance. The general consensus to date is that few, if any, such success stories are observable. Examinations of the value of professional investment research and counsel ([7] [8] [9] [24]), of the payoff from technical trading rules ([11] [13] [18] [20] [26] [34]), and of the investment results of institutional money management ([15] [29] [25] [28]) have, in almost every instance, provided little indication of performance better than that attainable from a simple passive strategy of buying and holding a randomly selected, well-diversified portfolio of securities, after appropriate adjustments for portfolio risk levels are taken into account. The intensive competition in, and rapid information-digesting properties of, the capital market environment have been cited as explanations ([2] [5] [12]).

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 14 , Issue 1 , March 1979 , pp. 29 - 57
Copyright
Copyright © School of Business Administration, University of Washington 1979

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[I]Bass, F. “Unexplained Variance in Studies of Consumer Behavior.” In Control of Error in Market Research Data, edited by Farley, J.. Lexington, Mass.: D.C. Heath (1975), pp. 11–36.Google Scholar
[2]Black, F.; Jensen, M.; and Scholes, M-. “The Capital Asset Pricing Model: Some Empirical Tests.” In Studies in the The Theory of Capital Markets, edited by Jensen, M.. New York: Praeger (1972), pp. 79–121.Google Scholar
[3]Blume, M.; Crockett, J.; and Friend, I.. “Stock Ownership in the United States: Characteristics and Trends.” Survey of Current Business (11 1974), pp. 16–40.Google Scholar
[4]Blume, M., and Friend, I.. “A New Look at the Capital Asset Pricing Model.” Journal of Finance (03 1973), pp. 19–33.CrossRefGoogle Scholar
[5]Brealey, R. An Introduction to Risk and Return from Common Stocks. Cambridge, Mass.: MIT Press (1969).Google Scholar
[6]Cohn, R.; Lewellen, W.; Lease, R.; and Schlarbaum, G.. “Individual Investor Risk Aversion and Investment Portfolio Composition.” Journal of Finance (05 1975), pp. 605–620.CrossRefGoogle Scholar
[7]Colker, S. “An Analysis of Security Recommendations by Brokerage Houses.” Quarterly Review of Economics and Business (Summer 1963), pp. 19–28.Google Scholar
[8]Cowles, A. “Can Stock Market Forecasters Forecast?” Econometrica (07 1933), pp. 309–324.CrossRefGoogle Scholar
[9]Diefenback, R. “How Good is Institutional Brokerage Research?” Financial Analysts Journal (01–02 1972), pp. 54–60.CrossRefGoogle Scholar
[10]Engel, J., Fiorello, H.; and Cayley, M.. Market Segmentation: Concepts and Applications. New York: Holt Rinehart and Winston (1972).Google Scholar
[11]Fama, E. “The Behavior of Stock Market Prices.” Journal of Business (01 1965), pp. 34–105.CrossRefGoogle Scholar
[12]Fama, E. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance (05 1970), pp. 383–417.CrossRefGoogle Scholar
[13]Fama, E., and Blume, M.. “Filter Rules and Stock Market Trading.” Journal of Business (01 1966), pp. 226–241.CrossRefGoogle Scholar
[14]Fama, E., and MacBeth, J.. “Risk, Return, and Equilibrium: Some Empirical Tests.” Journal of Political Economy (05–06 1973), pp. 607–636.CrossRefGoogle Scholar
[15]Friend, I.; Blume, M.; and Crockett, J.. Mutual Funds and Other Institutional Investors. New York: McGraw-Hill (1970).Google Scholar
[16]Friend, I., and Crockett, J.. “Characteristics of Stock Ownership.” American Statistical Association: Business and Economic Proceedings (1963), pp. 146–186.Google Scholar
[17]Friend, I., and DeCani, J.. “Stock Market Experience of Different Investor Groups.” American Statistical Association: Business and Economic Proceedings (1966), pp. 44–51.Google Scholar
[18]Granger, C, and Morgenstern, O.. “Spectral Analysis of New York Stock Market Prices.” Kyklos (1963), pp. 1–27.Google Scholar
[19]Jensen, M. “The Performance of Mutual Funds in the Period 1945–1964.” Journal of Finance (05 1968), pp. 389–416.Google Scholar
[20]Jensen, M., and Bennington, G.. “Random Walks and Technical Theories: Some Additional Evidence.” Journal of Finance (05 1970), pp. 469–482.CrossRefGoogle Scholar
[21]Lease, R.; Lewellen, W.; and Schlarbaum, G.. “The Individual Investor: Attributes and Attitudes.” Journal of Finance (05 1974), pp. 413–433.CrossRefGoogle Scholar
[22]Lease, R.; Lewellen, W.; and Schlarbaum, G.. “Market Segmentation: Evidence on the Individual Investor.” Financial Analysts Journal (09–10 1976), pp. 53–60.CrossRefGoogle Scholar
[23]Lewellen, W.; Lease, R.; and Schlarbaum, G.. “Patterns of Investment Strategy and Behavior Among Individual Investors.” Journal of Business (07 1977), pp. 296–333.CrossRefGoogle Scholar
[24]Logue, D., and Tuttle, D.. “Brokerage House Investment Advice.” Financial Review (1973), pp. 38–54.Google Scholar
[25]Lorie, J. et al. Measuring the Investment Performance of Pension Funds. Park Ridge, 111.: Bank Administration Institute (1968).Google Scholar
[26]More, A. “Some Characteristics of Changes in Common Stock Prices.” In The Random Character of Stock Market Prices, edited by Cootner, P.. Cambridge, Mass.: MIT Press (1964), pp. 139–161.Google Scholar
[27]New York Stock Exchange. 1973 Fact Book. New York, NYSE (1973).Google Scholar
[28]Schlarbaum, G. “The Investment Performance of the Common Stock Portfolios of Property-Liability Insurance Companies.” Journal of Financial and Quantitative Analysis (01 1974), pp. 89–106.CrossRefGoogle Scholar
[29]Schlarbaum, G; Lewellen, W.; and Lease, R.. “Realized Returns on Common Stock Investments: The Experience of Individual Investors.” Journal of Business (04 1978), pp. 299–325.CrossRefGoogle Scholar
[30]Schlarbaum, G; Lewellen, W.; and Lease, R.. “The Common-Stock-Portfolio Performance Record of Individual Investors.” Journal of Finance (05 1978), pp. 429–441.Google Scholar
[31]Schlarbaum, G; Lewellen, W.; and Lease, R.. “The Stock Market Experience of Individual Investors: Some Additional Evidence.” Working Paper No. 619, Krannert Graduate School of Management, Purdue University (1977).Google Scholar
[32]Sharpe, W. “Mutual Fund Performance.” Journal of Business (01 1966), pp. 119–138.CrossRefGoogle Scholar
[33]Smith, W. “Product Differentiation and Marketing Segmentation as Alternative Marketing Strategies.” Journal of Marketing (07 1956), pp. 3–8.CrossRefGoogle Scholar
[34]Van Home, J, and Parker, G.. “The Random Walk Theory: An Empirical Test.” Financial Analysts Journal (11–12 1967), pp. 87–92.CrossRefGoogle Scholar
[35]Ying, L; Lewellen, W.; Schlarbaum, G.; and Lease, R.. “Stock Exchange Listings and Securities Returns.” Journal of Financial and Quantitative Analysis (12 1979), pp. 415–432.Google Scholar