Subjective Return Expectations, Perceptions, and Portfolio Choice
Hector Calvo-Pardo
- Fonction : Auteur
- PersonId : 827291
- ORCID : 0000-0001-6645-4273
Xisco Oliver
- Fonction : Auteur
- PersonId : 764157
- ORCID : 0000-0002-0204-5726
Luc Arrondel
- Fonction : Auteur
- PersonId : 181098
- IdHAL : luc-arrondel
- ORCID : 0000-0003-0189-0175
- IdRef : 031987877
Résumé
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.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Subjective Return Expectations, Perceptions, and Portfolio Choice
|
Résumé |
en
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.
|
Auteur(s) |
Hector Calvo-Pardo
1
, Xisco Oliver
2
, Luc Arrondel
3, 4
1
University of Southampton
( 300666 )
- University Road, Southampton SO17 1BJ
- Royaume-Uni
2
UIB -
Universitat de les Illes Balears = Universidad de las Islas Baleares = University of the Balearic Islands
( 305409 )
- Cra. de Valldemossa, km 7.5. Palma Illes Balears
- Espagne
3
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
4
PJSE -
Paris Jourdan Sciences Economiques
( 578027 )
- 48 boulevard Jourdan 75014 Paris
- France
|
Licence |
Paternité
|
Public visé |
Scientifique
|
Numéro d'article |
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2022-01
|
Volume |
15
|
Numéro |
1
|
Mots-clés (JEL) |
|
Domaine(s) |
|
Mots-clés |
en
Subjective expectations, Perceptions, Portfolio choice, Household finance
|
DOI | 10.3390/jrfm15010006 |
UT key WOS | 000747222300001 |
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