What Drives Variation in Investor Portfolios? Estimating the Roles of Beliefs and Risk Preferences

• 成果类型: Article; Early Access
• 署名作者: Egan, Mark; MacKay, Alexander; Yang, Hanbin
• 署名单位: Harvard University; University of Virginia; University of London; London Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454; 1465-7368
• DOI: 10.1093/rfs/hhag044
• 发表日期: 2026-06-02
• 关键词: G11; G12; G40; G51; J32; expectations; experiences; COMPETITION; returns; prices; CHOICE

摘要

We present a portfolio choice demand model that allows for the nonparametric estimation of investors' (subjective) expectations and risk preferences. Using comprehensive 401(k)-plan-level data from 2009 through 2019, we explore heterogeneity in asset allocations using our empirical framework. We recover investors' beliefs about each asset and examine the implications and potential sources of those beliefs. Heterogeneity in expectations across investors accounts for twice as much variation in portfolio holdings as heterogeneity in risk aversion. Belief heterogeneity is partly driven by investors' characteristics and experiences, reflecting local sources of information such as county-level GDP and employers' past performance.