Skewness Expectations and Portfolio Choice

Arbeitspapier

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad index and a single stock, we show that portfolio allocations increase with the skewness of respondents' return expectations for the respective asset, controlling for other moments of a respondents' expectations and sociodemographic information. We also show that while an individuals' expectations are correlated across assets, sociodemographics only capture very little of the substantial heterogeneity in expectations.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: IZA Discussion Papers ; No. 15018

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Household Saving; Personal Finance ; Expectations; Speculations ; Portfolio Choice; Investment Decisions
• Thema: behavioral finance ; portfolio choice ; skewness ; stock market expectations

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Drerup, Tilman ; Wibral, Matthias ; Zimpelmann, Christian
• Ereignis: Veröffentlichung
• (wer): Institute of Labor Economics (IZA)
• (wo): Bonn
• (wann): 2022

Weitere Informationen

• Handle: http://hdl.handle.net/10419/250679
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ