Skewness Expectations and Portfolio Choice

• Published in: IDEAS Working Paper Series from RePEc
• Main Authors: Drerup, Tilman, Wibral, Matthias, Zimpelmann, Christian
• Format: Paper
• Language: English
• Published: St. Louis Federal Reserve Bank of St. Louis 01.01.2022

Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad index...