Which Bonds Characteristics Matter? Evidence from Retail Investors

Which Bonds Characteristics Matter? Evidence from Retail Investors

• Autor
• Matheus Carrijo de Brito
• Resumo

• This paper investigates which bond characteristics drive retail investors' allocation decisions using a novel transaction-level dataset of direct holdings in Brazilian government bonds from 2014 to 2024. Applying the methodology of \cite{balasubramaniam_who_2023} to the fixed-income setting, I identify three investor clienteles organized around safety, duration exposure, and special bonds. The two characteristics generating the strongest portfolio heterogeneity are bond price and time-to-maturity. I show that the bond price factor better reflects a preference for floating-rate bonds rather than nominal price illusion. The time-to-maturity factor reflects persistent maturity habitat preferences: investors systematically return to the same maturity range after rebalancing, and initial maturity choices predict future choices well beyond what mechanical portfolio aging can explain. 

• Palavras-chave
• Retail Investors, Bonds, Price Maturity.
• Modalidade
• Comunicação oral
• Área Temática
• Apreçamento de Ativos

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