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.
|Peer-reviewed scientific journal||Nordic Journal of Business|
|Publication status||Published - 2017|
|MoE publication type||A1 Journal article - refereed|
- 512 Business and Management