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Investment Performance and Investor Behavior

Published online by Cambridge University Press:  06 April 2009

Wilbur G. Lewellen ,
Ronald C. Lease  and
Gary G. Schlarbaum
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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

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References

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