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.
|Date of creation:||Mar 2005|
|Date of revision:|
|Publication status:||Published under the title "An Empirical Analysis of Aggregate Household Portfolios", in: Journal of Banking and Finance , 32(8), August 2008, pp.1583-1597|
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Web page: http://www.hec.unil.ch/deep/publications/cahiers/series
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