Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/104690 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
IZA Discussion Papers No. 8535
Verlag: 
Institute for the Study of Labor (IZA), Bonn
Zusammenfassung: 
While stock market expectations are among the most important primitives of portfolio choice models, their measurement has proved challenging for some respondents. We argue that the magnitude of measurement error in subjective expectations can be used as an indicator of the degree to which economic models of portfolio choice provide an adequate representation of individual decision processes. In order to explore this conjecture empirically, we estimate a semiparametric double index model on a dataset specifically collected for this purpose. Stock market participation reacts strongly to changes in model parameters for respondents at the lower end of the measurement error distribution; these effects are much less pronounced for individuals at the upper end. Our findings indicate that measurement error in subjective expectations provides useful information to uncover heterogeneity in choice behavior.
Schlagwörter: 
measurement error
subjective expectations
stock market participation
JEL: 
C35
C51
G11
Dokumentart: 
Working Paper

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