Please use this identifier to cite or link to this item: https://doi.org/10.1093/rfs/hhaa131
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dc.titleHousehold portfolio underdiversification and probability weighting: Evidence from the field
dc.contributor.authorDimmock, SG
dc.contributor.authorKouwenberg, R
dc.contributor.authorMitchell, OS
dc.contributor.authorPeijnenburg, K
dc.date.accessioned2022-09-05T07:27:52Z
dc.date.available2022-09-05T07:27:52Z
dc.date.issued2021-09-01
dc.identifier.citationDimmock, SG, Kouwenberg, R, Mitchell, OS, Peijnenburg, K (2021-09-01). Household portfolio underdiversification and probability weighting: Evidence from the field. Review of Financial Studies 34 (9) : 4524-4563. ScholarBank@NUS Repository. https://doi.org/10.1093/rfs/hhaa131
dc.identifier.issn0893-9454
dc.identifier.issn1465-7368
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/230876
dc.description.abstractWe test whether probability weighting affects household portfolio choice in a representative survey. On average, people display inverse-S-shaped probability weighting, overweighting low probability events. As theory predicts, probability weighting is positively associated with portfolio underdiversification and significant Sharpe ratio losses. Analyzing respondents' individual stock holdings, we find higher probability weighting is associated with owning lottery-type stocks and positively skewed equity portfolios. People with higher probability weighting are less likely to own mutual funds and more likely to either avoid equities or hold individual stocks. We are the first to empirically link individuals' elicited probability weighting and real-world decisions under risk.
dc.publisherOxford University Press (OUP)
dc.sourceElements
dc.typeArticle
dc.date.updated2022-09-05T05:55:16Z
dc.contributor.departmentFINANCE
dc.description.doi10.1093/rfs/hhaa131
dc.description.sourcetitleReview of Financial Studies
dc.description.volume34
dc.description.issue9
dc.description.page4524-4563
dc.published.statePublished
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