| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15012 |
| DP15012 The Portfolio Composition Effect | |
| Martin Weber; Jan Mueller-Dethard | |
| 发表日期 | 2020-07-08 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Does the evaluation of a portfolio of stocks depend on its composition of winner and loser stocks? To test this, we define a simple, counting-based measure of performance - the number of winner relative to the number of loser stocks in a portfolio - and examine how this composition measure affects individuals’ willingness to invest in a portfolio. We derive testable predictions for the proposed composition measure from a framework which combines category-based thinking with mental accounting. Consistent with our predictions, we find across all experiments that individuals allocate larger investments to portfolios with more winner than loser stocks relative to alternative portfolios with more loser than winner stocks, although both portfolios (1) have realized identical overall portfolio returns and (2) show identical expected risk-return characteristics. Building on our experimental findings, we analyze fund flows of exchange-traded funds on leading equity market indices. We identify that the proposed portfolio composition measure is positively related to future net fund flows. |
| 主题 | Financial Economics |
| 关键词 | Portfolio composition Investment behavior Risk preferences Mental accounting |
| URL | https://cepr.org/publications/dp15012 |
| 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/543960 |
| 推荐引用方式 GB/T 7714 | Martin Weber,Jan Mueller-Dethard. DP15012 The Portfolio Composition Effect. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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