An Empirical Analysis of U.S. Aggregate Portfolio Allocations

Michel Normandin () and Pascal Saint-Amour

No 05-02, Cahiers de recherche from HEC Montréal, Institut d'économie appliquée

Abstract: This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare these rules to the data through formal statistical analysis. Our main results reveal that i) purely tactical and myopic investment behaviors are unambiguously rejected, ii) strategic portfolio allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolio shares.

Keywords: Dynamic Hedging; Risk Aversion; Inter-temporal Substitution; Time-Varying Investment Opportunity Set. (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec
Date: 2005-03
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Related works:
Working Paper: An Empirical Analysis of U.S. Aggregate Portfolio Allocations (2005)
Working Paper: An Empirical Analysis of U.S. Aggregate Portfolio Allocations (2005)
Working Paper: An Empirical Analysis of U.S. Aggregate Portfolio Allocations (2005)
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