Preferred risk habitat of individual investors

• 成果类型: Article
• 署名作者: Dorn, Daniel; Huberman, Gur
• 署名单位: Drexel University; Columbia University; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.03.013
• 发表日期: 2010
• 页码: 155-173
• 关键词: Empirical portfolio choice; risk aversion; Narrow framing

摘要

The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks whose volatilities are commensurate with their risk aversion. The data, 1995-2000 holdings of over 20,000 clients at a large German broker, are consistent with the predictions of the hypothesis: the returns of stocks within each portfolio have remarkably similar volatilities, when stocks are sold they are replaced by stocks of similar volatilities, and the more risk-averse customers indeed hold less volatile stocks. Greater volatility specialization is associated with lower Sharpe ratios, primarily because more specialized investors hold fewer stocks and thereby expose themselves to more unsystematic risk. (c) 2010 Elsevier B.V. All rights reserved.