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What Drives Variation in Investor Portfolios? Estimating the Roles of Beliefs and Risk Preferences / Mark L. Egan, Alexander MacKay, Hanbin Yang.
- Format:
- Book
- Author/Creator:
- Egan, Mark L.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29604.
- NBER working paper series no. w29604
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2021.
- Summary:
- We present an empirical model of portfolio choice that allows for nonparametric estimation of investors' (subjective) expectations and risk preferences. Using a comprehensive dataset of 401(k) plans from 2009 through 2019, we explore the heterogeneity in asset allocations across plans using our empirical framework. Our estimates indicate that differences in expectations play a first-order role in explaining portfolios. We also show that investors appear to form expectations based on local sources of information such as county-level GDP growth and employer past performance. Overall, our findings are consistent with a model in which heterogeneity in investor expectations reflects idiosyncratic experiences and local environments.
- Notes:
- Print version record
- December 2021.
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