TY  - RPRT
        AU  - Drerup, Tilman
AU  - Wibral, Matthias
AU  - Zimpelmann, Christian
        TI  - Skewness Expectations and Portfolio Choice
        PY  - 2022/Jan/
        PB  - Institute of Labor Economics (IZA)
        CY  - Bonn
        T2  - IZA Discussion Paper
        IS  - 15018
        UR  - https://www.iza.org/publications/dp15018
        AB  - 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 individual-level 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 respondents' expectations and sociodemographic information. We also show that while an individuals' expectations are correlated across assets, sociodemographics only capture very little of the substantial heterogeneity in expectations.
        KW  - stock market expectations
KW  - skewness
KW  - behavioral finance
KW  - portfolio choice
        ER  -