Skewness expectations and portfolio choice
| Autor: | Tilman Drerup, Matthias Wibral |
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| Přispěvatelé: | RS: GSBE UM-BIC, Microeconomics & Public Economics |
| Jazyk: | angličtina |
| Rok vydání: | 2023 |
| Předmět: |
History
Polymers and Plastics Financial economics Economics Econometrics and Finance (miscellaneous) skewness Stock market expectations Expectations Speculations Behavioral economics Industrial and Manufacturing Engineering behavioral finance Economics Econometrics Asset (economics) g02 - Behavioral Finance: Underlying Principles Business and International Management Preference (economics) Personal Finance d14 - Personal Finance Behavioral Finance: Underlying Principles portfolio choice Investment decisions Skewness Replicating portfolio Portfolio Portfolio optimization Portfolio Choice Investment Decisions |
| Zdroj: | Experimental Economics, 26(1), 107-144. Springer, Cham |
| ISSN: | 1386-4157 |
| Popis: | Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We elicit detailed return expectations for a broad index fund and a single stock in a representative sample of the Dutch population. The data show substantial heterogeneity in individuals’ skewness expectations of which only very little is captured by sociodemographics. Across assets, most respondents expect a higher variance and skewness for the individual stock compared to the index fund. Portfolio allocations increase with the skewness of respondents’ return expectations for the respective asset, controlling for other moments of a respondent’s expectations. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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