Skewness Expectations and Portfolio Choice

Tilman Drerup (), Matthias Wibral () and Christian Zimpelmann
Additional contact information
Tilman Drerup: University of Bonn
Matthias Wibral: Maastricht University

No 15018, IZA Discussion Papers from Institute of Labor Economics (IZA)

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 individual-level 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 respondents' expectations and sociodemographic information. We also show that while an individuals' expectations are correlated across assets, sociodemographics only capture very little of the substantial heterogeneity in expectations.

Keywords: stock market expectations; skewness; behavioral finance; portfolio choice (search for similar items in EconPapers)
JEL-codes: D14 D84 G02 G11 (search for similar items in EconPapers)
Pages: 114 pages
Date: 2022-01
New Economics Papers: this item is included in nep-cwa and nep-fmk
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Published - published in: Experimental Economics, 2023, 26, 107 - 144

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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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