The investment behavior and performance of vari

Author(s): Mark Grinblatt, Matti Keloharju

Abstract: Using data from Finland, this study analyzes the extent to which past returns determine the propensity to buy and sell. It also analyzes whether these di!erences in past-return-based behavior and di!erences in investor sophistication drive the performance of various investor types. We "nd that foreign investors tend to be momentum investors, buying past winning stocks and selling past losers. Domestic investors, particularly households, tend to be contrarians. The distinctions in behavior are consistent across a variety of past-return intervals. The portfolios of foreign investors seem to outperform the portfolios of households, even after controlling for behavior di!erences.

Grinblat and Keloharju 2000 JFE.pdf