An Empirical Analysis of U.S. Aggregate Portfolio Allocations

Michel Normandin () and St-Amour, Pascal

Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) from Université de Lausanne, Faculté des HEC, DEEP

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: portfolio; factorial pricing; dynamic hedging (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 and nep-fin
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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Persistent link: http://EconPapers.repec.org/RePEc:lau:crdeep:05.03

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