Quality at a reasonable price: The role of investors’ portfolio weights

Research output: Contribution to journalArticleScientificpeer-review

Abstract

This paper explores whether signals from changes in investors’ portfolio concentrations can be used to enhance the performance of portfolios based on value and quality at a reasonable price. Using data on all the more than a million investor portfolios participating in the Finnish stock market, I find that the information content of increases in average shareholder portfolio concentration can improve the performance of value and quality portfolios under certain conditions. Overall, the results show that portfolio concentration can be used as an additional signal to improve the performance of popular value- and quality-oriented investing strategies.
Original languageEnglish
Peer-reviewed scientific journalNordic Journal of Business
Volume66
Issue number1
Pages (from-to)4-28
ISSN2342-9003
Publication statusPublished - 2017
MoE publication typeA1 Journal article - refereed

Keywords

  • 512 Business and Management

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