The investment behavior and performance of various investor types: a studyof Finland's unique data set

Using data from Finland, this study analyzes the extent to which past retur ns determine the propensity to buy and sell. It also analyzes whether these differences in past-return-based behavior and differences in investor soph istication drive the performance of various investor types. We find that fo reign investors tend to be momentum investors, buying past winning stocks a nd selling past losers. Domestic investors, particularly households, tend t o be contrarians. The distinctions in behavior are consistent across a vari ety of past-return intervals. The portfolios of foreign investors seem to o utperform the portfolios of households, even after controlling for behavior differences. (C) 2000 Elsevier Science S.A. All rights reserved. JEL class ification: G10.