Advanced Search
MyIDEAS: Login to save this article or follow this journal

On the determinants of portfolio choice

Contents:

Author Info

  • Frijns, Bart
  • Koellen, Esther
  • Lehnert, Thorsten

Abstract

This paper jointly analyzes traditional and behavioral concepts in a simple experimental setting which allows for the assessment of the relative importance of each factor and their joint behavior. Various hypotheses are tested in three portfolio choice models. Markowitz [Markowitz, H., 1952. Portfolio selection. Journal of Finance 7, 77-92] findings are analyzed and extended by behavioral concepts and socio-demographic variables. Models are expressed as conjoint choice models represented by a multinomial logit model. Data is collected in an experimental setting. We show that the level of the risk-free rate, an individual's risk aversion, market sentiment, self-assessed financial expertise, age and gender are determining factors of portfolio choice.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V8F-4MBT1K1-1/1/81c290538f3ca3a40f54284ab8fef4b2
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 66 (2008)
Issue (Month): 2 (May)
Pages: 373-386

as in new window
Handle: RePEc:eee:jeborg:v:66:y:2008:i:2:p:373-386

Contact details of provider:
Web page: http://www.elsevier.com/locate/jebo

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ravi Dhar & Ning Zhu, 2006. "Up Close and Personal: Investor Sophistication and the Disposition Effect," Management Science, INFORMS, vol. 52(5), pages 726-740, May.
  2. Richard Thaler, 1985. "Mental Accounting and Consumer Choice," Marketing Science, INFORMS, vol. 4(3), pages 199-214.
  3. George M. Constantinidies & John B. Donaldson & Rajnish Mehra, 1998. "Junior Can't Borrow: A New Perspective on the Equity Premium Puzzle," NBER Working Papers 6617, National Bureau of Economic Research, Inc.
  4. J. Doyne Farmer & Shareen Joshi, 2000. "The Price Dynamics of Common Trading Strategies," Working Papers 00-12-069, Santa Fe Institute.
  5. Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, vol. 52(1), pages 35-55, March.
  6. Terrance Odean, 1999. "Do Investors Trade Too Much?," American Economic Review, American Economic Association, vol. 89(5), pages 1279-1298, December.
  7. Charles A. Holt & Susan K. Laury, 2002. "Risk Aversion and Incentive Effects," American Economic Review, American Economic Association, vol. 92(5), pages 1644-1655, December.
  8. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
  9. Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
  10. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  11. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
  12. Brock, W.A., 1995. "A Rational Route to Randomness," Working papers 9530, Wisconsin Madison - Social Systems.
  13. Dellaert, B.G.C. & Brazell, J.D. & Louviere, J., 1998. "Variations in Consumer Choice Consistency: The Case of Attribute-Level Driven Shifts in Consistency," Discussion Paper 1998-29, Tilburg University, Center for Economic Research.
  14. Black, Fischer, 1986. " Noise," Journal of Finance, American Finance Association, vol. 41(3), pages 529-43, July.
  15. French, Kenneth R. & Poterba, James M., 1991. "Were Japanese stock prices too high?," Journal of Financial Economics, Elsevier, vol. 29(2), pages 337-363, October.
  16. Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, vol. 53(5), pages 1775-1798, October.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Shafi, Haroon & Akram, Muhammad & Hussain, Mubashir & Sajjad, Syed Imran & Rehman, Kashif Ur, 2011. "Relationship between risk perception and employee investment behavior," MPRA Paper 53849, University Library of Munich, Germany.
  2. Kaufmann, Christine & Weber, Martin, 2013. "Sometimes less is more – The influence of information aggregation on investment decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 95(C), pages 20-33.
  3. Frijns, Bart & Lehnert, Thorsten & Zwinkels, Remco C.J., 2010. "Behavioral heterogeneity in the option market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2273-2287, November.
  4. Thorsten Lehnert & Bart Frijns & Remco Zwinkels, 2009. "Behavioral Heterogeneity in the Option Market," LSF Research Working Paper Series 09-07, Luxembourg School of Finance, University of Luxembourg.
  5. Veld-Merkoulova, Yulia V., 2011. "Investment horizon and portfolio choice of private investors," International Review of Financial Analysis, Elsevier, vol. 20(2), pages 68-75, April.
  6. Lee, Hsiu-Chuan & Chang, Shu-Lien, 2013. "Spillovers of currency carry trade returns, market risk sentiment, and U.S. market returns," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 197-216.
  7. Ethan Watson & Mary C. Funck, 2012. "A cloudy day in the market: short selling behavioural bias or trading strategy," International Journal of Managerial Finance, Emerald Group Publishing, vol. 8(3), pages 238-255.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:jeborg:v:66:y:2008:i:2:p:373-386. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.