BF经典题第38页3.4题

• 这句话取自原版书 P147 倒数第二段

  With overconfidence, investors are more active and trading volume increases, thus lowering their expected profits.

  For overconfident investors (active traders),studies have shown that returns are less than returns to either less active traders or the market while risk is higher (Barber and Odean 2000)

• 后面也说了，结论是取自一篇论文研究

  Barber, Brad M., and Terrance Odean. 2000. “Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. ” Journal of Finance, vol.55, no. 2:773–806.

• 我截取了论文摘要，你可以看一下

  Individual investors who hold common stocks directly pay a tremendous performance penalty for active trading.

  Of 66,465 households with accounts at a large discount broker during 1991 to 1996, those that traded most earned an annual return of 11.4 percent, while the market returned 17.9 percent. The average household earned an annual return of 16.4 percent, tilted its common stock investment toward high-beta, small, value stocks, and turned over 75 percent of its portfolio annually.

  Overconfidence can explain high trading levels and the resulting poor performance of individual investors. Our central message is that trading is hazardous to your wealth.

交易的越频繁不是应该return更高才对吗？

• 请问同学的这个认识，是来自原版书或者讲义的哪里呢？