Skewness Expectations and Portfolio Choice

Tilman H. Drerup (), Matthias Wibral () and Christian Zimpelmann

CRC TR 224 Discussion Paper Series from University of Bonn and University of Mannheim, Germany

Abstract: Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individuallevel data on return expectations for a broad index and a single stock, we show that portfolio allocations increase with the skewness of respondents’ return expectations for the respective asset, controlling for other moments of a respondent’s expectations and sociodemographic information. We also show that while an individual’s expectations are correlated across assets, sociodemographics only capture very little of the substantial heterogeneity in expectations.

Keywords: Skewness; Stock Market Expectations; Portfolio Choice; Behavioral Finance (search for similar items in EconPapers)
JEL-codes: D14 D84 G02 G11 (search for similar items in EconPapers)
Pages: 112
Date: 2022-02
New Economics Papers: this item is included in nep-cwa, nep-fmk and nep-his
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Related works:
Journal Article: Skewness expectations and portfolio choice (2023)
Working Paper: Skewness Expectations and Portfolio Choice (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:bon:boncrc:crctr224_2022_333

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