메뉴 건너뛰기




Volumn 20, Issue 4, 2007, Pages 1255-1288

Equilibrium underdiversification and the preference for skewness

Author keywords

[No Author keywords available]

Indexed keywords


EID: 34547801713     PISSN: 08939454     EISSN: 14657368     Source Type: Journal    
DOI: 10.1093/revfin/hhm011     Document Type: Article
Times cited : (539)

References (40)
  • 1
    • 84980103525 scopus 로고
    • Risk and the Required Return on Equity
    • Arditti, F., 1967, "Risk and the Required Return on Equity," Journal of Finance22, 19-36.
    • (1967) Journal of Finance , vol.22 , pp. 19-36
    • Arditti, F.1
  • 2
    • 0942267052 scopus 로고    scopus 로고
    • Good Rationales Sell: Reason Based Choice Among Group and Individual Investors in the Stock Market
    • Barber, B., C. Heath, and T. Odean, 2003, "Good Rationales Sell: Reason Based Choice Among Group and Individual Investors in the Stock Market," Management Science, 49, 1636-1652.
    • (2003) Management Science , vol.49 , pp. 1636-1652
    • Barber, B.1    Heath, C.2    Odean, T.3
  • 3
    • 0037497348 scopus 로고    scopus 로고
    • Trading is Hazardous To Your Wealth: The Common Stock Investment Performance of Individual Investors
    • Barber, B., and T. Odean, 2000, "Trading is Hazardous To Your Wealth: The Common Stock Investment Performance of Individual Investors," Journal of Finance, 55, 773-806.
    • (2000) Journal of Finance , vol.55 , pp. 773-806
    • Barber, B.1    Odean, T.2
  • 4
    • 0040884260 scopus 로고    scopus 로고
    • Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment
    • Barber, B., and T. Odean, 2001, "Boys Will Be Boys: Gender, Overconfidence, and Common Stock Investment," Quarterly Journal of Economics, 116, 261-292.
    • (2001) Quarterly Journal of Economics , vol.116 , pp. 261-292
    • Barber, B.1    Odean, T.2
  • 9
    • 0001629453 scopus 로고
    • The Asset Structure of Individual Portfolios and Some Implications for Utility Functions
    • Blume, M., and I. Friend, 1975, "The Asset Structure of Individual Portfolios and Some Implications for Utility Functions," Journal of Finance, 30, 585-603.
    • (1975) Journal of Finance , vol.30 , pp. 585-603
    • Blume, M.1    Friend, I.2
  • 10
    • 0002519023 scopus 로고    scopus 로고
    • Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
    • Campbell, J., M. Lettau, B. Malkiel, and Y. Xu, 2001, "Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk," Journal of Finance, 56, 1-43.
    • (2001) Journal of Finance , vol.56 , pp. 1-43
    • Campbell, J.1    Lettau, M.2    Malkiel, B.3    Xu, Y.4
  • 11
    • 0000904974 scopus 로고
    • The Structure of Investor Preferences and Asset Returns, and Separability in Portfolio Allocation: A Contribution to the Pure Theory of Mutual Funds
    • Cass, D., and J. Stiglitz, 1970, "The Structure of Investor Preferences and Asset Returns, and Separability in Portfolio Allocation: A Contribution to the Pure Theory of Mutual Funds," Journal of Economic Theory, 2, 122-160.
    • (1970) Journal of Economic Theory , vol.2 , pp. 122-160
    • Cass, D.1    Stiglitz, J.2
  • 12
    • 84977380491 scopus 로고
    • On Diversification Given Asymmetry in Returns
    • Conine, T., Jr., and M. Tamarkin, 1981, "On Diversification Given Asymmetry in Returns," Journal of Finance, 36, 1143-1155.
    • (1981) Journal of Finance , vol.36 , pp. 1143-1155
    • Conine Jr., T.1    Tamarkin, M.2
  • 14
    • 0000418866 scopus 로고
    • The Utility Analysis of Choices Involving Risk
    • Friedman, M., and L. Savage, 1948, "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, 56, 279-304.
    • (1948) Journal of Political Economy , vol.56 , pp. 279-304
    • Friedman, M.1    Savage, L.2
  • 16
    • 33745728776 scopus 로고    scopus 로고
    • Graham, J., and A. Kumar, 2004, Do Dividend Clienteles Exist? Evidence on Dividend Preferences of Retail Investors, forthcoming in Journal of Finance, 61, 1305-1336.
    • Graham, J., and A. Kumar, 2004, "Do Dividend Clienteles Exist? Evidence on Dividend Preferences of Retail Investors," forthcoming in Journal of Finance, 61, 1305-1336.
  • 17
    • 0039699515 scopus 로고    scopus 로고
    • How Distance Language and Culture Influence Stockholdings and Trades
    • Grinblatt, M., and M. Keloharju, 2001, "How Distance Language and Culture Influence Stockholdings and Trades," Journal of Finance, 56, 1053-1073.
    • (2001) Journal of Finance , vol.56 , pp. 1053-1073
    • Grinblatt, M.1    Keloharju, M.2
  • 19
    • 0040186059 scopus 로고    scopus 로고
    • Conditional Skewness in Asset Pricing Tests
    • Harvey, C., and A. Siddique, 2000, "Conditional Skewness in Asset Pricing Tests," Journal of Finance, 55, 1263-1295.
    • (2000) Journal of Finance , vol.55 , pp. 1263-1295
    • Harvey, C.1    Siddique, A.2
  • 20
    • 58149212200 scopus 로고
    • The Importance of Investor Heterogeneity and Financial Market Imperfections For The Behavior of Asset Prices
    • Heaton, J., and D. Lucas, 1995, "The Importance of Investor Heterogeneity and Financial Market Imperfections For The Behavior of Asset Prices," Carnegie-Rochester Conference Series on Public Policy, 42, 1-32.
    • (1995) Carnegie-Rochester Conference Series on Public Policy , vol.42 , pp. 1-32
    • Heaton, J.1    Lucas, D.2
  • 21
    • 0008904604 scopus 로고
    • The Empirical Nature of Taylor-series Approximations to Expected Utility
    • Hlawitschka, W., 1994, "The Empirical Nature of Taylor-series Approximations to Expected Utility," American Economic Review, 84, 713-719.
    • (1994) American Economic Review , vol.84 , pp. 713-719
    • Hlawitschka, W.1
  • 22
    • 12344320638 scopus 로고    scopus 로고
    • Local Does As Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments
    • Ivkovic, Z., and S. Weisbenner, 2005, "Local Does As Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments," Journal of Finance, 60, 267-306.
    • (2005) Journal of Finance , vol.60 , pp. 267-306
    • Ivkovic, Z.1    Weisbenner, S.2
  • 23
    • 0000125532 scopus 로고
    • Prospect Theory: An Analysis of Decision Under Risk
    • Kahneman, D., and A. Tversky, 1979, "Prospect Theory: An Analysis of Decision Under Risk," Econometrica, 47, 263-292.
    • (1979) Econometrica , vol.47 , pp. 263-292
    • Kahneman, D.1    Tversky, A.2
  • 24
    • 0041012165 scopus 로고
    • All Their Eggs In One Basket: Portfolio Diversification of US Households
    • Kelly, M., 1995, "All Their Eggs In One Basket: Portfolio Diversification of US Households," Journal of Economic Behavior and Organization, 27, 87-96.
    • (1995) Journal of Economic Behavior and Organization , vol.27 , pp. 87-96
    • Kelly, M.1
  • 25
    • 84944838305 scopus 로고
    • Skewness Preference and the Valuation of Risky Assets
    • Kraus, A., and R. Litzenberger, 1976, "Skewness Preference and the Valuation of Risky Assets," Journal of Finance, 31, 1085-1100.
    • (1976) Journal of Finance , vol.31 , pp. 1085-1100
    • Kraus, A.1    Litzenberger, R.2
  • 26
    • 84982408067 scopus 로고
    • Approximating Expected Utility by a Function of Mean and Variance
    • Levy, H., and H. Markowitz, 1979, "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, 69, 308-317.
    • (1979) American Economic Review , vol.69 , pp. 308-317
    • Levy, H.1    Markowitz, H.2
  • 28
    • 30344469391 scopus 로고    scopus 로고
    • Company Stock in Pension Plans: How Costly Is It?
    • Meulbroek, L., 2005, "Company Stock in Pension Plans: How Costly Is It?" Journal of Law and Economics, 48, 443-474.
    • (2005) Journal of Law and Economics , vol.48 , pp. 443-474
    • Meulbroek, L.1
  • 29
    • 0001242340 scopus 로고    scopus 로고
    • Do Investors Trade Too Much?
    • Odean, T., 1999, "Do Investors Trade Too Much?" American Economic Review, 89, 1279-1298.
    • (1999) American Economic Review , vol.89 , pp. 1279-1298
    • Odean, T.1
  • 30
    • 0001447776 scopus 로고
    • Econometric Issues in the Analysis of Regressions With Generated Regressors
    • Pagan, A., 1984, "Econometric Issues in the Analysis of Regressions With Generated Regressors," International Economic Review, 25, 221-248.
    • (1984) International Economic Review , vol.25 , pp. 221-248
    • Pagan, A.1
  • 31
    • 27544511772 scopus 로고    scopus 로고
    • Household Portfolio Diversification: A Case for Rank-dependent Preferences
    • Polkovnichenko, V., 2005, "Household Portfolio Diversification: A Case for Rank-dependent Preferences," Review of Financial Studies, 18, 1467-1502.
    • (2005) Review of Financial Studies , vol.18 , pp. 1467-1502
    • Polkovnichenko, V.1
  • 32
    • 34547777841 scopus 로고    scopus 로고
    • Diversification, Vegetables, and Bill Gates
    • article 6
    • Riepe, M., 2002, "Diversification, Vegetables, and Bill Gates," Journal of Financial Planning, article 6 15(5), 36-39.
    • (2002) Journal of Financial Planning , vol.15 , Issue.5 , pp. 36-39
    • Riepe, M.1
  • 33
    • 84974249859 scopus 로고
    • The Fundamental Theorem of Parameter-Preference Security Valuation
    • Rubinstein, M., 1973, "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, 8, 61-69.
    • (1973) Journal of Financial and Quantitative Analysis , vol.8 , pp. 61-69
    • Rubinstein, M.1
  • 34
    • 84977397409 scopus 로고
    • On the Direction of Preference For Moments of Higher Order Than The Variance
    • Scott, R., and P. Horvath, 1980, "On the Direction of Preference For Moments of Higher Order Than The Variance," Journal of Finance, 35, 915-919.
    • (1980) Journal of Finance , vol.35 , pp. 915-919
    • Scott, R.1    Horvath, P.2
  • 35
    • 0001783260 scopus 로고
    • On the Estimation of Beta Pricing Models
    • Shanken, J., 1992, "On the Estimation of Beta Pricing Models," Review of Financial Studies, 5, 1-34.
    • (1992) Review of Financial Studies , vol.5 , pp. 1-34
    • Shanken, J.1
  • 39
    • 0000388992 scopus 로고
    • Consistent Nonparametric Regression
    • Stone, C., 1977, "Consistent Nonparametric Regression," Annals of Statistics, 5, 595-645.
    • (1977) Annals of Statistics , vol.5 , pp. 595-645
    • Stone, C.1
  • 40
    • 0039095262 scopus 로고
    • Asset-pricing Puzzles and Incomplete Markets
    • Telmer, C., 1993, "Asset-pricing Puzzles and Incomplete Markets," Journal of Finance, 48, 1803-1832.
    • (1993) Journal of Finance , vol.48 , pp. 1803-1832
    • Telmer, C.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.