Expected equity returns and portfolio choice: Evidence from the Health and Retirement Study
Expected equity returns and portfolio choice: Evidence from the Health and Retirement Study
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DOI：
10.1162/jeea.2007.5.2-3.369
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发表时间：
2007-04-01
影响因子：
3.6
通讯作者：
Manski, Charles F.
中科院分区：
文献类型：
--
作者：
Dominitz, Jeff;Manski, Charles F.
为了为预期研究提供实证基础，我们进行了调查研究，以概率的方式衡量美国人对未来一年股票回报的信念。本文介绍了 2004 年健康与退休研究中报告的预期回报的新发现。我们发现所报告的信念存在很大的异质性，但令人惊讶的是，近三分之二的受访者表示获得正名义回报的机会不高于 50-50。正如我们早期的工作一样，预期回报随着年龄的增长而下降，并且男性的预期回报高于女性。我们发现，随着感知到的正回报机会的增加，持有股票的可能性大幅增加。这些发现对于投资组合的选择可能非常重要。
To provide an empirical basis for the study of expectations, we have undertaken survey research measuring in probabilistic terms the beliefs that Americans hold about equity returns in the year ahead. This paper presents new findings on the expected returns reported in the 2004 Health and Retirement Study. We find substantial heterogeneity of reported beliefs, but, strikingly, nearly two-thirds of respondents report no better than a 50-50 chance of a positive nominal return. As in our earlier work, expected returns decline with age and are higher for men than for women. We find here that the probability of holding stocks increases substantially as the perceived chance of a positive return increases. These findings are potentially of considerable importance for portfolio choice.