An Empirical Analysis of U.S. Aggregate Portfolio Allocations

Michel Normandin () and Pascal St-Amour

Cahiers de recherche from CIRPEE

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 portofolio 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 portfolios 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)
Date: 2005
New Economics Papers: this item is included in nep-bec and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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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: https://EconPapers.repec.org/RePEc:lvl:lacicr:0503

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