| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27227 |
| 来源ID | Working Paper 27227 |
| Necessary Evidence For A Risk Factor\u2019s Relevance | |
| Alexander M. Chinco; Samuel M. Hartzmark; Abigail B. Sussman | |
| 发表日期 | 2020-05-25 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | Textbook finance theory assumes that investors strategically try to insure themselves against bad future states of the world when forming portfolios. This is a testable assumption, surveys are ideally suited to test it, and we develop a framework for doing so. Our framework combines survey experiments with field data to test this assumption as it pertains to any candidate risk factor. We study consumption growth to demonstrate the approach. While participants strategically respond to changes in the mean and volatility of stock returns when forming their portfolios, there is no evidence that investors view this canonical risk factor as relevant. |
| 主题 | Microeconomics ; Economics of Information ; Behavioral Economics ; Macroeconomics ; Consumption and Investment ; Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance |
| URL | https://www.nber.org/papers/w27227 |
| 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/584899 |
| 推荐引用方式 GB/T 7714 | Alexander M. Chinco,Samuel M. Hartzmark,Abigail B. Sussman. Necessary Evidence For A Risk Factor\u2019s Relevance. 2020. |
| 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 | ||
| w27227.pdf（835KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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