Abstract
| Original language | English |
|---|---|
| Pages (from-to) | 122 - 131 |
| Number of pages | 10 |
| Journal | International Review of Financial Analysis |
| Volume | 40 |
| DOIs | |
| Publication status | Published - 2015 |
Cite this
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Stock market expectations and risk aversion of individual investors. / Lee, Boram; Rosenthal, Leonard; Veld, Christianus Henricus; Veld-Merkoulova, Joulia Wiktorowna.
In: International Review of Financial Analysis, Vol. 40, 2015, p. 122 - 131.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - Stock market expectations and risk aversion of individual investors
AU - Lee, Boram
AU - Rosenthal, Leonard
AU - Veld, Christianus Henricus
AU - Veld-Merkoulova, Joulia Wiktorowna
PY - 2015
Y1 - 2015
N2 - We study the relationship between stock market return expectations and risk aversion of individuals and test whether the joint effects arising from the interaction of these two variables affect investment decisions. Using data from the Dutch National Bank Household Survey, we find that higher risk aversion is associated with lower stock market expectations. We identify significant and negative effects on the probability that individuals invest in stocks arising from the interaction between stock market expectations and risk aversion. These effects are in addition to a significant and positive impact from stock market return expectations as well as a significant and negative effect from risk aversion separately. However, once individuals participate in the stock market, their stock market expectations alone remain significant in determining their portfolio allocation decisions.
AB - We study the relationship between stock market return expectations and risk aversion of individuals and test whether the joint effects arising from the interaction of these two variables affect investment decisions. Using data from the Dutch National Bank Household Survey, we find that higher risk aversion is associated with lower stock market expectations. We identify significant and negative effects on the probability that individuals invest in stocks arising from the interaction between stock market expectations and risk aversion. These effects are in addition to a significant and positive impact from stock market return expectations as well as a significant and negative effect from risk aversion separately. However, once individuals participate in the stock market, their stock market expectations alone remain significant in determining their portfolio allocation decisions.
U2 - 10.1016/j.irfa.2015.05.011
DO - 10.1016/j.irfa.2015.05.011
M3 - Article
VL - 40
SP - 122
EP - 131
JO - International Review of Financial Analysis
JF - International Review of Financial Analysis
SN - 1057-5219
ER -