| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11188 |
| DP11188 The Perception of Dependence and Investment Decisions | |
| Martin Weber | |
| 发表日期 | 2016-03-23 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We study the perception of dependence between asset returns and its impact on investment decisions. Our findings suggest that, while changes in dependence are not neglected, correlation does not properly capture investors' perception of dependence. In several laboratory experiments we vary dependence between two assets. When dependence is linear, participants understand it and consistently diversify less at higher correlations. However, when we vary non-linear dependence---increasing dependence in extreme returns while decreasing dependence in moderate returns---most participants do not understand dependence in extreme returns. Consequently, they diversify less when dependence in moderate returns increases, even if overall correlation decreases due to less dependence in extreme returns. This finding suggests that investors could improve portfolio selection by taking into account biased beliefs about dependence. |
| 主题 | Financial Economics |
| 关键词 | Biased beliefs Dependence Investment decisions Correlation neglect Diversification Risk taking |
| URL | https://cepr.org/publications/dp11188 |
| 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/540005 |
| 推荐引用方式 GB/T 7714 | Martin Weber. DP11188 The Perception of Dependence and Investment Decisions. 2016. |
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