Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/250679 
Year of Publication: 
2022
Series/Report no.: 
IZA Discussion Papers No. 15018
Publisher: 
Institute of Labor Economics (IZA), Bonn
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.
Subjects: 
behavioral finance
portfolio choice
skewness
stock market expectations
JEL: 
D14
D84
G02
G11
Document Type: 
Working Paper

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