| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8686 |
| 来源ID | Working Paper 8686 |
| Equity Portfolio Diversification | |
| William N. Goetzmann; Alok Kumar | |
| 发表日期 | 2001-12-20 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | In this paper we examine the portfolios of more than 40,000 equity investment accounts from a large discount brokerage during a six year period (1991-96) in recent U.S. capital market history. Using the historical performance for the equities in these accounts, we find that a vast majority of investors in our sample are under-diversified. Even accounting for the likelihood we have selected on speculators, the magnitude of the diosyncratic risk taken by investors in our sample is surprising. Investors are aware of the benefits of diversification but they appear to adopt a 'naive' diversification strategy where they form portfolios without giving proper consideration to the correlations among the stocks. Over time, the degree of diversification among investor portfolios has improved but these improvements result primarily from changes in the correlation structure of the US equity market. Cross-sectional variations in diversification across demographic groups suggest that investors in low income and non-professional categories hold the least diversified portfolios. In addition, we find that young, active investors are over-focused and hold under-diversified portfolios. Overall, our results indicate that investors realize the benefits of diversification but they face a daunting task of 'implementing' and maintaining a well-diversified portfolio. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w8686 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566293 |
| 推荐引用方式 GB/T 7714 | William N. Goetzmann,Alok Kumar. Equity Portfolio Diversification. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8686.pdf（1785KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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