Skewness expectations and portfolio choice

Tilman H. Drerup (), Matthias Wibral () and Christian Zimpelmann
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Tilman H. Drerup: University of Bonn
Matthias Wibral: Maastricht University

Experimental Economics, 2023, vol. 26, issue 1, No 5, 107-144

Abstract: Abstract Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We elicit detailed return expectations for a broad index fund and a single stock in a representative sample of the Dutch population. The data show substantial heterogeneity in individuals’ skewness expectations of which only very little is captured by sociodemographics. Across assets, most respondents expect a higher variance and skewness for the individual stock compared to the index fund. Portfolio allocations increase with the skewness of respondents’ return expectations for the respective asset, controlling for other moments of a respondent’s 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)
Date: 2023
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Citations: View citations in EconPapers (1)

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Working Paper: Skewness Expectations and Portfolio Choice (2022)
Working Paper: Skewness Expectations and Portfolio Choice (2022)
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DOI: 10.1007/s10683-022-09780-9

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