An Empirical Analysis of U.S. Aggregate Portfolio Allocations
Details
State: Public
Version: author
Serval ID
serval:BIB_4329F99810E0
Type
Report: a report published by a school or other institution, usually numbered within a series.
Publication sub-type
Working paper: Working papers contain results presented by the author. Working papers aim to stimulate discussions between scientists with interested parties, they can also be the basis to publish articles in specialized journals
Collection
Publications
Institution
Title
An Empirical Analysis of U.S. Aggregate Portfolio Allocations
Institution details
Université de Lausanne - HEC - DEEP
Issued date
03/2005
Number
05.03
Genre
Cahiers de recherches économiques
Language
english
Number of pages
31
Notes
Published under the title "An Empirical Analysis of Aggregate Household Portfolios", in: Journal of Banking and Finance , 32(8), August 2008, pp.1583-1597
Abstract
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare these rules to the data through formal statistical analysis.
Our main results reveal that i) purely tactical and myopic investment behaviors are unambiguously rejected, ii) strategic portfolio allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolio shares.
Our main results reveal that i) purely tactical and myopic investment behaviors are unambiguously rejected, ii) strategic portfolio allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolio shares.
Keywords
portfolio, factorial pricing, dynamic hedging
Publisher's website
Create date
30/08/2013 12:09
Last modification date
21/08/2019 7:09
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