Template-Type: ReDIF-Paper 1.0
Title: Skewness Expectations and Portfolio Choice
Author-Name: Tilman H. Drerup 
Author-Email:tilman.drerup@me.com 
Author-Name: Matthias Wibral
Author-Email:m.wibral@maastrichtuniversity.nl  
Author-Name: Christian Zimpelmann
Author-Email: zimpelmann@iza.org


Classification-JEL: D14, D84, G02, G11
Keywords:  Skewness, Stock Market Expectations, Portfolio Choice, Behavioral Finance

Abstract: Many models of investor behavior predict that investors prefer assets that they believe
to have positively skewed return distributions. We provide a direct test of this
prediction in a representative sample of the Dutch population. Using individuallevel
data on return expectations for a broad index and a single stock, we show
that portfolio allocations increase with the skewness of respondents’ return expectations
for the respective asset, controlling for other moments of a respondent’s
expectations and sociodemographic information. We also show that while an individual’s
expectations are correlated across assets, sociodemographics only capture
very little of the substantial heterogeneity in expectations.

Note: 
Length: 112
Creation-Date: 2022-02
Revision-Date: 
File-URL: https://www.crctr224.de/research/discussion-papers/archive/dp333
File-Format: application/pdf
Handle: RePEc:bon:boncrc:CRCTR224_2022_333