Arbeitspapier
Stocks, bonds and the investment horizon: A spatial dominance approach
Financial advisors typically recommend that a long-term investor should hold a higher percentage of his wealth in stocks than a short-term investor. However, part of the academic literature disagrees with this advice. We use a spatial dominance test which is suited for comparing alternative investments when their distributions are time-varying. Using daily data for the US from 1965 to 2008, we test for dominance of cumulative returns series for stocks versus bonds at different investment horizons from one to ten years. We find that bonds second order spatially dominate stocks for one and two year horizons. For horizons of nine years or longer, we find evidence that stocks dominate bonds. When different portfolios of stocks and bonds are compared, we find that for long investment horizons, only those portfolios with a suffciently high proportion of stocks are effcient in the sense of spatial dominance.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 2011-03
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Semiparametric and Nonparametric Methods: General
Portfolio Choice; Investment Decisions
- Thema
-
Investment decisions
Investment horizon
Stochastic dominance
Kapitalanlage
Portfolio-Management
USA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ibarra-Ramírez, Raúl
- Ereignis
-
Veröffentlichung
- (wer)
-
Banco de México
- (wo)
-
Ciudad de México
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Ibarra-Ramírez, Raúl
- Banco de México
Entstanden
- 2011
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