Abstract

This article jointly estimates the relationship between stock share and expectations and risk preferences. The survey allows individual-level, quantitative estimates of risk tolerance and of the perceived mean, and variance of stock returns. These estimates have economically and statistically significant association for the distribution of stock shares with relative magnitudes in proportion with the predictions of theories. Incorporating survey measurement error in the estimation model increases the estimated associations 2-fold, but they are still substantially attenuated being only about 5% of what benchmark finance theories predict. Because of the careful attention in the estimation to measurement error, the attenuation likely arises from economic behavior rather than errors in variables.

摘要

本文共同估计了股票份额与期望和风险偏好之间的关系。该调查允许对风险承受力和感知均值以及股票收益的方差进行个人级别的定量估计。这些估计值与理论预测成比例的相对大小的股票分布在经济和统计上具有显着关联。将调查测量误差并入估计模型会使估计的关联增加2倍，但它们仍显着衰减，仅为基准金融理论预测的5％左右。由于在估算时要特别注意测量误差，因此衰减可能是由于经济行为而不是变量误差引起的。