依赖领域的多样化：收益-损失领域对相关性选择的影响

IF 2.3 3区经济学 Q2 ECONOMICS

Journal of Economic Behavior & Organization Pub Date : 2024-09-18 DOI:10.1016/j.jebo.2024.106681

Charlotte Borsboom , Darren Duxbury , Alexander Nieber , Stefan Zeisberger

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引用次数: 0

摘要

尽管有令人信服的证据表明，收益-损失-领域依赖行为十分普遍，但有关领域依赖性分散投资的研究却很少。我们招募了 251 名经验丰富的美国散户投资者参与一项受控实验，任务是选择资产相关性不同的投资组合，从而在收益和损失领域获得多样化收益。我们发现了无条件和以基准投资组合偏好为条件的领域依赖性多样化的证据。与 "损失-关注 "假说相一致的是，在损失领域没有观察到多样化误差，但在收益领域却明显存在（相对于基准的多样化程度要低得多）。

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Domain-dependent diversification: The influence of gain–loss domain on correlation choice

Despite compelling evidence of widespread gain–loss-domain-dependent behavior, research on domain-dependent diversification is scarce. We recruited 251 experienced US retail investors to participate in a controlled experiment with the task to select portfolios that differ in asset correlation and, hence, diversification benefits in both the gain and the loss domain. We find evidence of domain-dependent diversification, both unconditional and conditional on benchmark portfolio preferences. Consistent with a loss-attention hypothesis, diversification errors are not observed in the loss domain but are clearly present in the gain domain (with much lower diversification relative to the benchmark).

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来源期刊

Journal of Economic Behavior & Organization ECONOMICS-

CiteScore

3.80

自引率

9.10%

发文量

392

期刊介绍： The Journal of Economic Behavior and Organization is devoted to theoretical and empirical research concerning economic decision, organization and behavior and to economic change in all its aspects. Its specific purposes are to foster an improved understanding of how human cognitive, computational and informational characteristics influence the working of economic organizations and market economies and how an economy structural features lead to various types of micro and macro behavior, to changing patterns of development and to institutional evolution. Research with these purposes that explore the interrelations of economics with other disciplines such as biology, psychology, law, anthropology, sociology and mathematics is particularly welcome.