Performance Persistence of Individual Investors

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Abstract
Using unique data on month-end stock market portfolios of all individual investors over an eleven year period, we find that a substantial number of investors exhibit economically and statistically significant performance persistence. Furthermore, a portfolio that is long in stocks previously favored by top performing investors earns a substantial risk adjusted return. These finding are robust to how we measure past performance, how often investors trade, and to the size of investors' portfolios. Unlike the evidence from mutual and pension funds, the persistence in performance of individual investors is not concentrated in portfolios with poor prior performance.