Heterogeneity in Expectations, Risk Tolerance, and Household Stock Shares: The Attenuation Puzzle

This article jointly estimates the relationship between stock share and expectations and risk preferences. The survey allows individual-level, quantitative estimates of risk tolerance and of the perceived mean, and variance of stock returns. These estimates have economically and statistically significant association for the distribution of stock shares with relative magnitudes in proportion with the predictions of theories. Incorporating survey measurement error in the estimation model increases the estimated associations 2-fold, but they are still substantially attenuated being only about 5% of what benchmark finance theories predict. Because of the careful attention in the estimation to measurement error, the attenuation likely arises from economic behavior rather than errors in variables.

本文联合估计了股票持仓比例与预期、风险偏好之间的关联关系。本调研支持开展个体层面的风险容忍度、股票收益感知均值与感知方差的量化估计。上述估计结果与股票持仓比例的分布存在显著的经济与统计关联，且关联强度与理论预测的相对规模成正比。在估计模型中纳入调研测量误差后，估计得到的关联强度提升至原先的2倍，但关联程度仍大幅衰减，仅约为基准金融理论预测值的5%。由于估计过程中对测量误差进行了审慎处理，这种衰减更可能源于经济行为本身，而非变量测量误差。