An Empirical Analysis of U.S. Aggregate Portfolio Allocations
This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare these rules to the data through formal statistical analysis. Our main results reveal that i) purely tactical and myopic investment behaviors are unambiguously rejected, ii) strategic portfolio allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolio shares. Ce papier analyse la forte variation chronologique dans les portefeuilles agrégés américains. À cet effet, nous utilisons des descriptions flexibles des préférences et des opportunités d'investissement afin de dériver les allocations tactiques, myopes et stratégiques. Ces règles sont ensuite comparées aux données dans le cadre d'une analyse statistique formelle. Nos principaux résultats révèlent que i) les règles purement myopes ou tactiques sont rejetées, ii) les portefeuilles stratégiques sont supportés et iii) les facteurs Fama-French sont ceux qui reproduisent le mieux les allocations empiriques.
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| Length: | 34 pages |
| Date of creation: | 01 Mar 2005 |
| Date of revision: | |
| Handle: | RePEc:cir:cirwor:2005s-07 |
| Contact details of provider: | Postal: 1130 rue Sherbrooke Ouest, suite 1400, Montréal, Quéc, H3A 2M8 Phone: (514) 985-4000 Fax: (514) 985-4039 Web page: http://www.cirano.qc.ca/ Email: More information through EDIRC
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