Investigating the Performance of Active and Passive Individual Investors in Tehran Stock Exchange by Using Portfolio Study and Own Benchmark Abnormal Return Approaches

The purpose of this research is to compare the performance of investors who are actively involved in stock transactions with other investors’. For this purpose, examining the portfolio statement of investors in Tehran Stock Exchange during the five-year period from 2012 to 2016, we have also adopted two analytical approaches. First, through the Portfolio Study Method, the monthly returns of investors with a high portfolio turnover rate (active investors) have been compared with that of investors with low portfolio turnover rate (passive investors). Second, using a complementary approach (called Own-Benchmark Abnormal Return), we have examined investors’ monthly returns in two different modes: 1.changing the composition of the portfolio; 2.maintaining the primary composition of the portfolio. The results show investors with a higher trading frequency, both before and after the deduction of transaction costs, have a better performance than other investors. Also, the performance of investors in the first mode is better than in the second mode.