Table 3.
Individual investors’ performance by trades. This table reports estimates of the CAPM, the Fama and French 3-factor model and the Carhart 4-factor model for individual investors at the Colombian Stock Exchange from 2006 to 2016 sorted by quantiles of trades. Panel A exhibits the coefficient estimates on gross excess returns and Panel B on net excess returns. Market is the return in excess of the Colombian market index (COLCAP) relative to the one-month T-bill rate. SMB is the return on a portfolio of small cap stocks minus big cap stocks. HML is the return on a portfolio long in high book-to-market ratio stocks and short in low book-to-market ratio stocks. WML is the return on a portfolio long on winner stocks during the previous 12 months and short on loser shares during the same period. Note: t-statistics in parentheses. ∗/∗∗/∗∗∗ indicate that the coefficient estimates are significantly different from zero at the 10%, 5%, 1%, respectively.
| Trades | CAPM |
3-Factor |
4-Factor |
||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| Alpha | Market | Alpha | Market | SMB | HML | Alpha | Market | SMB | HML | WML | |
| Panel A. Gross risk-adjusted returns | |||||||||||
| Group 1 - Low | -0.00320∗∗ | 0.402∗∗∗ | -0.00289∗∗ | 0.431∗∗∗ | 0.127∗∗∗ | -0.0559 | -0.00300∗∗ | 0.437∗∗∗ | 0.138∗∗∗ | -0.0566 | 0.0530 |
| (-2.46) | (18.14) | (-2.28) | (17.81) | (2.85) | (-1.33) | (-2.37) | (17.78) | (3.06) | (-1.35) | (1.34) | |
| Group 2 | -0.00342∗∗∗ | 0.385∗∗∗ | -0.00313∗∗ | 0.413∗∗∗ | 0.121∗∗∗ | -0.0527 | -0.00324∗∗∗ | 0.419∗∗∗ | 0.132∗∗∗ | -0.0534 | 0.0513 |
| (-2.75) | (18.12) | (-2.58) | (17.80) | (2.84) | (-1.30) | (-2.67) | (17.77) | (3.05) | (-1.32) | (1.35) | |
| Group 3 | -0.00368∗∗∗ | 0.358∗∗∗ | -0.00338∗∗∗ | 0.388∗∗∗ | 0.124∗∗∗ | -0.0434 | -0.00350∗∗∗ | 0.395∗∗∗ | 0.135∗∗∗ | -0.0441 | 0.0556 |
| (-3.02) | (17.21) | (-2.85) | (17.13) | (2.97) | (-1.10) | (-2.96) | (17.18) | (3.22) | (-1.12) | (1.50) | |
| Group 4 | -0.00388∗∗∗ | 0.341∗∗∗ | -0.00360∗∗∗ | 0.369∗∗∗ | 0.116∗∗∗ | -0.0406 | -0.00372∗∗∗ | 0.376∗∗∗ | 0.128∗∗∗ | -0.0414 | 0.0570 |
| (-3.35) | (17.25) | (-3.19) | (17.13) | (2.92) | (-1.08) | (-3.31) | (17.23) | (3.19) | (-1.11) | (1.62) | |
| Group 5 - High | -0.00429∗∗∗ | 0.299∗∗∗ | -0.00402∗∗∗ | 0.329∗∗∗ | 0.116∗∗∗ | -0.0254 | -0.00417∗∗∗ | 0.338∗∗∗ | 0.131∗∗∗ | -0.0264 | 0.0712∗∗ |
| (-3.82) | (15.61) | (-3.69) | (15.83) | (3.03) | (-0.70) | (-3.88) | (16.17) | (3.41) | (-0.74) | (2.12) | |
| Panel B. Net risk-adjusted returns | |||||||||||
| Group 1 - Low | -0.00347∗∗∗ | 0.401∗∗∗ | -0.00317∗∗ | 0.430∗∗∗ | 0.124∗∗∗ | -0.0533 | -0.00328∗∗ | 0.436∗∗∗ | 0.135∗∗∗ | -0.0540 | 0.0529 |
| (-2.65) | (17.95) | (-2.47) | (17.58) | (2.77) | (-1.25) | (-2.56) | (17.55) | (2.97) | (-1.27) | (1.32) | |
| Group 2 | -0.00366∗∗∗ | 0.384∗∗∗ | -0.00337∗∗∗ | 0.412∗∗∗ | 0.119∗∗∗ | -0.0500 | -0.00349∗∗∗ | 0.418∗∗∗ | 0.130∗∗∗ | -0.0507 | 0.0518 |
| (-2.92) | (17.94) | (-2.74) | (17.58) | (2.76) | (-1.22) | (-2.84) | (17.56) | (2.97) | (-1.24) | (1.35) | |
| Group 3 | -0.00388∗∗∗ | 0.358∗∗∗ | -0.00359∗∗∗ | 0.387∗∗∗ | 0.122∗∗∗ | -0.0411 | -0.00371∗∗∗ | 0.394∗∗∗ | 0.134∗∗∗ | -0.0418 | 0.0556 |
| (-3.16) | (17.03) | (-2.99) | (16.92) | (2.90) | (-1.03) | (-3.10) | (16.96) | (3.13) | (-1.05) | (1.49) | |
| Group 4 | -0.00406∗∗∗ | 0.341∗∗∗ | -0.00379∗∗∗ | 0.369∗∗∗ | 0.114∗∗∗ | -0.0381 | -0.00391∗∗∗ | 0.376∗∗∗ | 0.126∗∗∗ | -0.0388 | 0.0571 |
| (-3.47) | (17.09) | (-3.32) | (16.93) | (2.85) | (-1.00) | (-3.44) | (17.03) | (3.11) | (-1.03) | (1.61) | |
| Group 5 - High | -0.00443∗∗∗ | 0.299∗∗∗ | -0.00416∗∗∗ | 0.329∗∗∗ | 0.114∗∗∗ | -0.0231 | -0.00432∗∗∗ | 0.338∗∗∗ | 0.129∗∗∗ | -0.0241 | 0.0719∗∗ |
| (-3.92) | (15.49) | (-3.79) | (15.69) | (2.97) | (-0.63) | (-3.98) | (16.03) | (3.35) | (-0.67) | (2.12) | |