A News-Utility Theory for Inattention and Delegation in Portfolio Choice

• 成果类型: Article
• 署名作者: Pagel, Michaela
• 署名单位: National Bureau of Economic Research; Center for Economic & Policy Research (CEPR)
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA14417
• 发表日期: 2018
• 页码: 491-522
• 关键词: reference-dependent preferences; MYOPIC LOSS AVERSION; life-cycle; asset prices; stock-market; transactions costs; reference points; Consumer choice; prospect-theory; labor income

摘要

Recent evidence suggests that investors are inattentive to their portfolios and hire expensive portfolio managers. This paper develops a life-cycle portfolio-choice model in which the investor experiences loss-averse utility over news and can ignore his portfolio. In such a model, the investor prefers to ignore and not rebalance his portfolio most of the time because he dislikes bad news more than he likes good news such that expected news causes a first-order decrease in utility. Consequently, the investor has a first-order willingness to pay a portfolio manager who rebalances actively on his behalf. Moreover, the investor can diversify over time and his consumption aligns with predictions of mental accounting. I structurally estimate the preference parameters by matching stock shares and stock-market non-participation over the life cycle. My parameter estimates are in line with the literature, generate reasonable intervals of inattention, and simultaneously explain consumption and wealth accumulation over the life cycle. Here, it matters that news utility preserves first-order risk aversion even in the presence of stochastic labor income, which also causes stock shares to rise in wealth.