What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions
中文摘要
我们利用401(k)默认选项的变动来研究风险偏好与摩擦在投资组合选择中的作用。针对不同默认基金作出主动选择的模式表明,在不存在参与摩擦的情况下,94%的投资者偏好持有股票,且退休财富中的股票份额随年龄下降——这些模式与观察到的配置明显不同。我们利用这一准实验估计生命周期模型,发现相对风险厌恶为2.5、跨期替代弹性(EIS)为0.25、投资组合调整成本为160美元。结果表明,退休账户中股票市场参与水平偏低源于参与摩擦,而非损失厌恶等非标准偏好。
Abstract
ABSTRACT We study the role of risk preferences and frictions in portfolio choice using variation in 401(k) default options. Patterns of active choice in response to different default funds imply that, absent participation frictions, 94% of investors prefer holding stocks, with an equity share of retirement wealth declining with age—patterns markedly different from observed allocations. We use this quasi‐experiment to estimate a life‐cycle model and find a relative risk aversion of 2.5, elasticity of intertemporal substitution (EIS) of 0.25, and $160 portfolio adjustment cost. The results suggest that low levels of stock market participation in retirement accounts are due to participation frictions rather than nonstandard preferences such as loss aversion.