@article{5093379c57784dd2a402b7978eb4e4ca,
title = "Skewness expectations and portfolio choice",
abstract = "Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We elicit detailed return expectations for a broad index fund and a single stock in a representative sample of the Dutch population. The data show substantial heterogeneity in individuals{\textquoteright} skewness expectations of which only very little is captured by sociodemographics. Across assets, most respondents expect a higher variance and skewness for the individual stock compared to the index fund. Portfolio allocations increase with the skewness of respondents{\textquoteright} return expectations for the respective asset, controlling for other moments of a respondent{\textquoteright}s expectations.",
keywords = "skewness, stock market expectations, portfolio choice, behavioral finance, Skewness, Portfolio choice, Stock market expectations, Behavioral finance",
author = "Drerup, {Tilman H.} and Matthias Wibral and Christian Zimpelmann",
note = "data source: The replication material for the study (data and code) is available at https://zenodo.org/record/7114350 Funding Information: We thank Sebastian Ebert, Benjamin Enke, Hans-Martin von Gaudecker, Holger Gerhardt, Paul Karehnke, Sebastian Kube, Farzad Saidi, Sebastian Schaube, Tobias Schmidt, Stefan Trautmann, Jana Willrodt, and Florian Zimmermann for helpful discussions. Valuable comments were received from audiences at the Behavioral Finance Working Group meeting at Queen Mary University, the CEAR/MRIC Behavioral Insurance Workshop Munich, the CERP workshop at Collegio Carlo Alberto, the INFER conference at G{\"o}ttingen, Maastricht University, and the University of Bonn. Matthias Wibral gratefully acknowledges financial support from the European Union{\textquoteright}s Horizon 2020 research and innovation programme under the Marie Sk{\l}odowska-Curie grant agreement 749741. Support from the Deutsche Forschungsgemeinschaft (DFG, German Research Foundation) through CRC-TR 224 (Project C01) is gratefully acknowledged by Christian Zimpelmann. The replication material for the study is available at https://doi.org/10.5281/zenodo.7114350 . Publisher Copyright: {\textcopyright} 2022, The Author(s).",
year = "2023",
month = mar,
doi = "10.1007/s10683-022-09780-9",
language = "English",
volume = "26",
pages = "107--144",
journal = "Experimental Economics",
issn = "1386-4157",
publisher = "Springer, Cham",
number = "1",
}