Subjective Return Expectations, Perceptions, and Portfolio Choice

Journal of Risk and Financial Management

卷:15

Xisco Oliver¹  Hector Calvo-Pardo²  Luc Arrondel³ 

[1] Applied Economics, Universitat de les Illes Balears, 07122 Palma de Mallorca, Spain;

[2] Economics and CPC, Highfield Campus, University of Southampton, Bld 58, R3113, ESPS, FSS, Southampton SO171BJ, UK;

[3] PSE-CNRS, 75014 Paris, France;

关键词: subjective expectations;    perceptions;    portfolio choice;    household finance;   

DOI  :  10.3390/jrfm15010006

来源: DOAJ

【 摘 要 】

Exploiting a representative sample of the French population by age, wealth, and asset classes, we document novel facts about their expectations and perceptions of stock market returns. Both expectations and perceptions of returns are very dispersed, significantly lower than their data counterparts, and a substantial portion of the variation in the former is explained by dispersion in the latter. Consistent with portfolio choice models under incomplete information, a conditional risk-return trade-off explains the intensive margin, while at the extensive margin, only expected returns matter. Despite accounting for survey measurement error in subjective return expectations, ’muted sensitivities’ at both portfolio choice margins obtain, getting consistently (i) bigger when excluding informed non-participants, and (ii) smaller, for inertial and professionally delegated portfolios.

【 授权许可】

Unknown