| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24928 |
| 来源ID | Working Paper 24928 |
| Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field | |
| Stephen G. Dimmock; Roy Kouwenberg; Olivia S. Mitchell; Kim Peijnenburg | |
| 发表日期 | 2018-08-20 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We explore the relation between probability weighting and household portfolio underdiversification in a representative household survey, using custom-designed incentivized lotteries. On average, people display Inverse-S shaped probability weighting, overweighting the small probabilities of tail events. As theory predicts, our Inverse-S measure is positively associated with portfolio underdiversification, which results in significant Sharpe ratio losses. We match respondents’ individual stock holdings to CRSP data and find that people with higher Inverse-S tend to pick stocks with positive skewness and hold positively-skewed equity portfolios. We show that these choices reflect preferences rather than probability unsophistication or limited financial knowledge. |
| 主题 | Econometrics ; Data Collection ; Microeconomics ; Households and Firms ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w24928 |
| 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/582602 |
| 推荐引用方式 GB/T 7714 | Stephen G. Dimmock,Roy Kouwenberg,Olivia S. Mitchell,et al. Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field. 2018. |
| 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 | ||
| w24928.pdf（475KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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