The Costs and Beliefs Implied by Direct Stock Ownership

Published Online:https://doi.org/10.1287/mnsc.2017.2791

References

  • Amromin G, Sharpe SA (2008) Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical? Finance and Economics Discussion Series, Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, DC.Google Scholar
  • Anderson A (2013) Trading and under-diversification. Rev. Finance 17(5):1699–1741.CrossrefGoogle Scholar
  • Ang A, Ayala A, Goetzmann WN (2013) Investment beliefs of endowments. Columbia Business School Research Paper 13-72, Columbia University, New York. http://dx.doi.org/10.2139/ssrn.2327345.Google Scholar
  • Angrisani M, Hurd MD, Meijer E (2012) Investment decisions in retirement: The role of subjective expectations. Michigan Retirement Research Center Research Paper 2012-274, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2188403.Google Scholar
  • Barber BM, Odean T (2000) Trading is hazardous to your wealth: The common stock investment performance of individual investors. J. Finance 55(2):773–806.CrossrefGoogle Scholar
  • Barber BM, Odean T (2001) Boys will be boys: Gender, overconfidence, and common stock investment. Quart. J. Econom. 116(1):261–292.CrossrefGoogle Scholar
  • Blume ME, Friend I (1975) The asset structure of individual portfolios and some implications for utility functions. J. Finance 30(2):585–603.CrossrefGoogle Scholar
  • Brunnermeier MK, Gollier C, Parker JA (2007) Optimal beliefs, asset prices, and the preference for skewed returns. Amer. Econom. Rev. 97(2):159–165.CrossrefGoogle Scholar
  • Burnside C, Eichenbaum M, Rebelo S (2014) Understanding booms and busts in housing markets. NBER Working Paper 16734, National Bureau of Economic Research, Cambridge, MA..Google Scholar
  • Calvet LE, Campbell JY, Sodini P (2007) Down or out: Assessing the welfare costs of household investment mistakes. J. Political Econom. 115(5):707–747.CrossrefGoogle Scholar
  • Campbell JY, Viceira LM (2002) Strategic Asset Allocation: Portfolio Choice for Long-Term Investors (Oxford University Press, Oxford, United Kingdom).CrossrefGoogle Scholar
  • Chetty R (2006) A new method of estimating risk aversion. Amer. Econom. Rev. 96(5):1821–1834.CrossrefGoogle Scholar
  • Christelis D, Jappelli T, Padula M (2010) Cognitive abilities and portfolio choice. Eur. Econom. Rev. 54(1):18–38.CrossrefGoogle Scholar
  • Clark R, Morrill MS, Allen S (2012) The role of financial literacy in determining retirement plans. Econom. Inquiry 50(4):851–866.CrossrefGoogle Scholar
  • Dominitz J, Manski CF (2007) Expected equity returns and portfolio choice: Evidence from the health and retirement study. J. Eur. Econom. Assoc. 5(2–3):369–379.CrossrefGoogle Scholar
  • Friend I, Blume ME (1975) The demand for risky assets. Amer. Econom. Rev. 65(5):900–922.Google Scholar
  • Gertner R (1993) Game shows and economic behavior: Risk-taking on “card sharks.” Quart. J. Econom. 108(2):507–521.CrossrefGoogle Scholar
  • Glode V (2011) Why mutual funds “underperform.” J. Financial Econom. 99(3):546–559.CrossrefGoogle Scholar
  • Goetzmann WN, Kumar A (2008) Equity portfolio diversification. Rev. Finance 12(3):433–463.CrossrefGoogle Scholar
  • Goetzmann WN, Peles N (1997) Cognitive dissonance and mutual fund investors. J. Financial Res. 20(2):145–158.CrossrefGoogle Scholar
  • Gomes F, Michaelides A (2005) Optimal life-cycle asset allocation: Understanding the empirical evidence. J. Finance 60(2):869–904.CrossrefGoogle Scholar
  • Guiso L, Jappelli T, Padula M (2013) Pension wealth uncertainty. J. Risk Insurance 80(4):1057–1085.CrossrefGoogle Scholar
  • Heaton J, Lucas D (2000) Portfolio choice and asset prices: The importance of entrepreneurial risk. J. Political Econom. 55(3):1163–1198.Google Scholar
  • Hortaçsu A, Syverson C (2004) Product differentiation, search costs, and competition in the mutual fund industry: A case study of S&P 500 index funds. Quart. J. Econom. 119(2):403–456.CrossrefGoogle Scholar
  • Ivković Z, Sialm C, Weisbenner S (2008) Portfolio concentration and the performance of individual investors. J. Financial Quant. Anal. 43(3):613–656.CrossrefGoogle Scholar
  • Jensen MC (1968) The performance of mutual funds in the period 1945–1964. J. Finance 23(2):389–416.CrossrefGoogle Scholar
  • Kacperczyk M, Sialm C, Zheng L (2005) On the industry concentration of actively managed equity mutual funds. J. Finance 60(4):1983–2011.CrossrefGoogle Scholar
  • Kelly M (1995) All their eggs in one basket: Portfolio diversification of us households. J. Econom. Behav. Organ. 27(1):87–96.CrossrefGoogle Scholar
  • Kennickell AB (1998) Multiple imputation in the survey of consumer finances. Working paper, Federal Reserve Board, Washington, DC. http://www.federalreserve.gov/pubs/oss/oss2/papers/impute98.pdf.Google Scholar
  • Kézdi G, Willis RJ (2011) Household stock market beliefs and learning. NBER Working Paper 17614, National Bureau of Economic Research, Cambridge, MA. http://www.nber.org/papers/w17614.CrossrefGoogle Scholar
  • Kimball MS, Sahm CR, Shapiro MD (2008) Imputing risk tolerance from survey responses. J. Amer. Statist. Assoc. 103(483):1028–1038.CrossrefGoogle Scholar
  • Kimball MS, Sahm CR, Shapiro MD (2009) Risk preferences in the PSID: Individual imputations and family covariation. Amer. Econom. Rev. Papers Proc. 99(2):363–368.CrossrefGoogle Scholar
  • Kyle AS (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1335.CrossrefGoogle Scholar
  • Linnainmaa JT (2011) Why do (some) households trade so much. Rev. Financial Stud. 24(5):1630–1666.CrossrefGoogle Scholar
  • Linnainmaa JT (2013) Reverse survivorship bias. J. Finance 68(3):789–813.CrossrefGoogle Scholar
  • Malmendier U, Nagel S (2011) Depression babies: Do macroeconomic experiences affect risk taking? Quart. J. Econom. 126(1):373–416.CrossrefGoogle Scholar
  • Massa M, Simonov A (2006) Hedging, familiarity and portfolio choice. Rev. Financial Stud. 19(2):633–685.CrossrefGoogle Scholar
  • Mauer J, Klein R, Vella F (2011) Subjective health assessments and active labor market participation of older men: Evidence from a semiparametric binary choice model with nonadditive correlated individual-specific effects. Rev. Econom. Statist. 93(3):764–774.CrossrefGoogle Scholar
  • McKay A (2013) Search for financial returns and social security privatization. Rev. Econom. Dynamics 16(2):253–270.CrossrefGoogle Scholar
  • Mehra R, Prescott EC (1985) The equity premium: A puzzle. J. Monetary Econom. 15(2):145–161.CrossrefGoogle Scholar
  • Merkle C (2017) Financial overconfidence over time: Foresight, hindsight, and insight of investors. J. Banking Finance 84:68–87.CrossrefGoogle Scholar
  • Merton RC (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. Rev. Econom. Statist. 54(3):247–257.CrossrefGoogle Scholar
  • Merton RC (1987) A simple model of capital market equilibrium with incomplete information. J. Finance 42(3):483–510.CrossrefGoogle Scholar
  • Montalto C, Sung J (1996) Multiple imputation in the 1992 survey of consumer finances. Financial Counseling Planning 7:133–146.Google Scholar
  • Mullainathan S, Nöth M, Schoar A (2012) The market for financial advice: An audit study. NBER Working Paper 17929, National Bureau of Economic Research, Cambridge, MA.CrossrefGoogle Scholar
  • Odean T (1999) Do investors trade too much? Amer. Econom. Rev. 89(5):1279–1298.CrossrefGoogle Scholar
  • Peress J (2004) Wealth, information acquisition, and portfolio choice. Rev. Financial Stud. 17(3):879–914.CrossrefGoogle Scholar
  • Polkovnichenko V (2005) Household portfolio diversification: A case for rank-dependent preferences. Rev. Financial Stud. 18(4):1467–1502.CrossrefGoogle Scholar
  • Puri M, Robinson DT (2007) Optimism and economic choice. J. Financial Econom. 86(1):71–99.CrossrefGoogle Scholar
  • Samuelson PA (1969) Lifetime portfolio selection by dynamic stochastic programming. Rev. Econom. Statist. 51(3):239–246.CrossrefGoogle Scholar
  • Seru A, Shumway T, Stoffman N (2010) Learning by trading. Rev. Financial Stud. 23(2):705–739.CrossrefGoogle Scholar
  • Van Nieuwerburgh S, Veldkamp L (2010) Information acquisition and under-diversification. Rev. Econom. Stud. 77(2):779–805.CrossrefGoogle Scholar
  • Vissing-Jorgensen A (2002) Towards an explanation of household portfolio choice heterogeneity: Nonfinancial income and participation cost structures. NBER Working Paper 8884, National Bureau of Economic Research, Cambridge, MA.CrossrefGoogle Scholar
  • Vissing-Jorgensen A, Attanasio OP (2003) Stock-market participation, intertemporal substitution, and risk-aversion. Amer. Econom. Rev. 93(2):383–391.CrossrefGoogle Scholar
  • Wang Y (2014) Dynamic implications of subjective expectations: Evidence from adult smokers. Amer. Econom. J. Appl. Econom. 6(1):1–37.CrossrefGoogle Scholar
  • Williams JT (1977) Capital asset prices with heterogeneous beliefs. J. Financial Econom. 5(2):219–239.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.