Is online trading gambling with peanuts?

Anderson, Anders

Vorschau

PDF
dp06_02.pdf - Veröffentlichte Version
Download (330kB)

URL:	https://ub-madoc.bib.uni-mannheim.de/2604
URN:	urn:nbn:de:bsz:180-madoc-26049
Dokumenttyp:	Arbeitspapier
Erscheinungsjahr:	2006
Titel einer Zeitschrift oder einer Reihe:	Working paper series / Sonderforschungsbereich 504, Rationalitätskonzepte, Entscheidungsverhalten und Ökonomische Modellierung
Band/Volume:	06-02
Ort der Veröffentlichung:	Mannheim
Sprache der Veröffentlichung:	Englisch
Einrichtung:	Fakultät für Rechtswissenschaft und Volkswirtschaftslehre > Sonstige - Fakultät für Rechtswissenschaft und Volkswirtschaftslehre
MADOC-Schriftenreihe:	Sonderforschungsbereich 504 > Rationalitätskonzepte, Entscheidungsverhalten und ökonomische Modellierung (Laufzeit 1997 - 2008)
Fachgebiet:	330 Wirtschaft
Fachklassifikation:	JEL: G11 D14 C24 ,
Normierte Schlagwörter (SWD):	Anlageverhalten , Wertpapierhandel , Börseninformationssystem , Portfoliomanagement , Schätzung , Internet
Freie Schlagwörter (Englisch):	Investor behavior , performance evaluation , online trading , overconfidence
Abstract:	If individuals derive a small utility from gambling, we should observe high turnover in portfolios that are of only marginal importance to them. By the use of detailed individual financial data, as well as trades from a Swedish online broker, I measure the frequency and cost of online trading in the cross-section, and find the opposite relation. Those who have online portfolios that constitute a large share of risky assets trade more aggressively, but have lower trading performance. These results can be explained by a simple Treynor-Black portfolio model where investors suffer from biased self-assessment, rather than possessing true investment skill. The overall result suggests that the cost of online trading can be substantial. The top quintile of investors who have the highest share of their total financial assets in stocks invested at the brokerage firm under study loose 3.70% of their financial wealth annually, which corresponds to 1.38% of aggregate income within this group. These investors do not only hve lower overall wealth and income, but also have the highest aggregate trading losses. Therefore, trading losses are mainly carried by those who can afford them the least. Across individuals, annual losses for 36% of investors exceed 1% of their financial wealth, and 17% lose more than 5%.
Zusätzliche Informationen: