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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: IZA Discussion Papers ; No. 15018

Classification and Topics

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

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Drerup, Tilman ; Wibral, Matthias ; Zimpelmann, Christian
• Event: Veröffentlichung
• (who): Institute of Labor Economics (IZA)
• (where): Bonn
• (when): 2022

Further information

• Handle: http://hdl.handle.net/10419/250679
• Last update: 10.03.2025, 11:42 AM CET