| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25269 |
| 来源ID | Working Paper 25269 |
| Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle | |
| John Ameriks; Gábor Kézdi; Minjoon Lee; Matthew D. Shapiro | |
| 发表日期 | 2018-11-19 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper jointly estimates the relationship between stock share and expectations and risk preferences. The survey allows individual-level, quantitative estimates of risk tolerance and of the perceived mean and variance of stock returns. These estimates have economically and statistically significant association for the distribution of stock shares with relative magnitudes in proportion with the predictions of theories. Incorporating survey measurement error in the estimation model increases the estimated associations twofold, but they are still substantially attenuated being only about 5 percent of what benchmark finance theories predict. Because of the careful attention in the estimation to measurement error, the attenuation likely arises from economic behavior rather than errors in variables. |
| 主题 | Econometrics ; Data Collection ; Microeconomics ; Economics of Information ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w25269 |
| 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/582943 |
| 推荐引用方式 GB/T 7714 | John Ameriks,Gábor Kézdi,Minjoon Lee,et al. Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle. 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 | ||
| w25269.pdf（487KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
