| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6540 |
| DP6540 Creditor Protection and Stock Price Volatility | |
| Assaf Razin; Galina Hale; Hui Tong | |
| 发表日期 | 2007-10-26 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio perspective overlooks return correlations. The data, 1995-2000 holdings of over 20,000 customers of a German broker, are consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when stocks are sold they are replaced by stocks of similar volatilities, and the more risk averse customers indeed hold less volatile stocks. Cross-sectionally, the more risk averse investors also have a stronger tendency to invest in mutual funds. Major improvements in diversification are concentrated during periods when investors add money to their account. |
| 主题 | Financial Economics |
| 关键词 | Preferred risk habitat Risk Risk aversion Stock portfolio Volatility |
| URL | https://cepr.org/publications/dp6540 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535379 |
| 推荐引用方式 GB/T 7714 | Assaf Razin,Galina Hale,Hui Tong. DP6540 Creditor Protection and Stock Price Volatility. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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