| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP11585 |
| DP11585 The Perception of Dependence, Investment Decisions, and Stock Prices | |
| Martin Weber; Michael Ungeheuer | |
| 发表日期 | 2016-10-20 |
| 出版年 | 2016 |
| 语种 | 英语 |
| 摘要 | We study how investors perceive dependence between stock returns, how this influences investment decisions and stock prices. Our findings suggest that investors understand differences in dependence, but correlation does not properly capture their perception of dependence. In several laboratory experiments, we show that subjects understand dependence in frequent, moderate returns, but do not understand depedence in infrequent, extreme returns. Consistent with a counting heuristic, they diversify more at lower frequencies of comovement, even if correlation increases due to strong positive dependence in extreme returns. Applying our insights from experiments to 1963-2015 US stock returns, we find that there is a robust return premium for stocks with high frequencies of comovement with the market return. Our findings suggest that dependence between stock returns matters for investors and aggregate market outcomes. They also suggest 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 Asset pricing |
| URL | https://cepr.org/publications/dp11585 |
| 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/540398 |
| 推荐引用方式 GB/T 7714 | Martin Weber,Michael Ungeheuer. DP11585 The Perception of Dependence, Investment Decisions, and Stock Prices. 2016. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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