文章基本信息

标题：Subjective Return Expectations, Perceptions, and Portfolio Choice
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作者：Hector Calvo-Pardo ; Xisco Oliver ; Luc Arrondel 等
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2022
卷号：15
期号：1
页码：1-29
DOI：10.3390/jrfm15010006
语种：English
出版社：MDPI, Open Access Journal
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..
关键词：subjective expectations ;perceptions ;portfolio choice ;household finance