Why does junior put all his eggs in one basket? A potential rational explanation for holding concentrated portfolios

• 成果类型: Article
• 署名作者: Roche, Herve; Tompaidis, Stathis; Yang, Chunyu
• 署名单位: University of Texas System; University of Texas Austin
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2013.03.016
• 发表日期: 2013
• 页码: 775-796
• 关键词: Asset selection; UNDERDIVERSIFICATION; labor income; financial constraints; household portfolios

摘要

Empirical studies of household portfolios show that young households, with little financial wealth, hold underdiversified portfolios that are concentrated in a small number of assets, a fact often attributed to behavioral biases. We present a potential rational alternative: we show that investors with little financial wealth, who receive labor income, rationally limit the number of assets they invest in when faced with financial constraints such as margin requirements and restrictions on borrowing. We provide theoretical and numerical support for our results and identify the ratio of financial wealth to labor income as a useful control variable for household portfolio studies. (c) 2013 Elsevier B.V. All rights reserved.