Why stocks may disappoint

• 成果类型: Article
• 署名作者: Ang, A; Bekaert, G; Liu, J
• 署名单位: Columbia University; University of Southern California; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.03.009
• 发表日期: 2005
• 页码: 471-508
• 关键词: first order risk aversion; loss aversion; portfolio choice; Downside risk

摘要

We provide a formal treatment of both static and dynamic portfolio choice using the Disappointment Aversion preferences of Gul (1991. Econometrica 59(3), 667-686), which imply asymmetric aversion to gains versus losses. Our dynamic formulation nests the standard CRRA asset allocation problem as a special case. Using realistic data generating processes, we find reasonable equity portfolio allocations for disappointment averse investors with utility functions exhibiting low curvature. Moderate variation in parameters can robustly generate substantial cross-sectional variation in portfolio holdings, including optimal non-participation in the stock market. (c) 2005 Elsevier B.V. All rights reserved.