Razionalità limitata, scelte di portafoglio e investimento azionario estero
DOI:
https://doi.org/10.13133/2037-3651/10385Keywords:
funzione di produttività, Sylos Labini, regioni italianeAbstract
I provide a plausible explanation of household equity holdings, in a framework where economic agents have behavioral preferences. Basically, we develop our analysis assuming the existence of boundedly rational economic agents. In that sense, I explicitly recall some Keynesian propositions: the analysis of Keynes' work reveals that his approach was quite consistent with and actually anticipated both Simon's conception of bounded rationality and recent work on cognitive psychology. The representative agent derives utility not only from consumption (standard models) but also from risky financial wealth fluctuations. Moreover, the investor frames the stock market risk narrowly and has loss averse preferences. I numerically solve a simple model of international portfolio choice for the foreign equity share, providing a possible explanation for the equity home bias puzzle. Only economic agents able to process correctly information deriving from stock markets exploit the diversification opportunities provided by international financial markets.
JEL Codes: G11, G12, G15
References
BANCA D'ITALIA (1998), Indagine sul Reddito e la Ricchezza delle Famiglie Italiane, Roma.
BANCA D'ITALIA (2000), Indagine sul Reddito e la Ricchezza delle Famiglie Italiane, Roma.
BANCA D'ITALIA (2002), Indagine sul Reddito e la Ricchezza delle Famiglie Italiane, Roma.
BARBERIS N. e M. HUANG (2001), "Mental accounting, loss aversion and individual stock returns", Journal of Finance, vol. 56, no. 4, pp. 1247-92.
BARBERIS N. e M. RUANG (2004), "Preferences with Frames: a New Utility Specification that Allows for the Framing of Risks", Working Paper, Yale School of Management, Yale University.
BARBERIS N. e M. HUANG (2007), "The Loss Aversion/Narrow Framing Approach to the Equity Premium Puzzle", in R. Mehra ed., Handbook of Investments: Equity Risk Premium, North Holland, Amsterdam, forthcoming.
BARBER B. e T. OOEAN (1999), "Do Investors Trade too Much?", American Economic Review, vol. 89, no. 5, pp. 1279-98.
BARBER B. e T. ODEAN (2001), "Boys will be Boys: Gender, Overconfidence, and Common Stock Investment", Quarterly Journal of Economics, vol. 116, no. 1, pp. 261-92.
BARBERIS N. e R. THALER (2003), "A Survey of Behavioral finance", in G. Constantinides, M. Harris e R. Stulz eds, Handbook of the Economics of Finance, North-Holland, Amsterdam, pp. 1053-128.
BARBERIS N., M. HUANG e T. SANTOS (2001), "Prospect theory and asset prices", Quarterly Journal of Economics, val. 116, no. 1, pp. 1-53.
BARBERIS N., M. HUANG e R. THALER (2006), "Individual preferences, monetary gambles, and stock market participation: a case for narrow framing", American Economic Review, vol. 96, no. 4, pp. 1069-90.
BAXTER M. e U. JERMANN (1997), "The international diversification puzzle is worse than you think", American Economic Review, vol. 87, no. 1, pp. 170-80.
BENARTZI S. e R. THALER (1995), "Myopic 1055 aversion and the equity premium puzzle", Quarterly Journal of Ecol1omics, vol. 110, no. 1, pp. 75-92.
BERKELAAR A., R. KOUWENBERG e T. POST (2004), "Optimal portfolio choice under loss aversion", Review ofEcol1omics and Statistics, val. 86, no. 4, pp. 973-87.
CAMERER C., G. LOEWENSTEIN e M. RABIN eds. (2003), Advances in Behavioral Economics, Princeton University Press, Princeton.
CAMPBELL J.Y. (2003), "Consumption-based asset pricing", in G. Constantinides, M. Harris and R. Stulz eds., Handbook of the Economics of Finance, North-Holland, Amsterdam, pp. 803-87.
CHRISTELIS D., T. JAPPELLI e M. PADUI.A (2006), "Cognitive abilities and portfolio chaice", CSEF Working Paper, no.157, Università degli Studi di Salerno.
CONSTANTINIDES G. (1982), "Intertemporal asset pricing with heterogeneous consumers and without demand aggregation", Journal of Business, vol. 55, no. 2, pp. 253-67.
CONSTANTINIDES G. e D. DUFFIE (1996), "Asset pricing with heterogeneous consumers", Journal of Political Economy, vol. 104, no. 2, pp. 219-40.
KELLY M. (1995), "All their Eggs in the Basket: Portfolio Diversification of US Households", Journal of Economic Behavior and Organization, vol. 27, no. 1, pp. 87-96.
KEYNES J.M. (1936), The General Theory of Employment, Interest and Money, Macmillan, Landon.
KEYNES J.M. (1978), Teoria generale dell'occupazione, dell'interesse e della moneta e altri scritti, a cura di A. Campolongo, UTET, Torino.
KOCHERLAKOTA N. (1996), "The equity premium: it's still a puzzle", Journal of Economic Literature, vol. 34, no. 1, pp. 42-71.
LEVY H. e M. SARNAT (1970), "International Diversification of Investment Portfolios", American Economic Review, vol. 60, no. 4, pp. 668-75.
LEWIS K. (1999), "Trying to explain home bias in equities and consumption", Journal of Economic Literature, val. 37, no. 2, pp. 571-608.
LJUNGQVIST L. e T. SARGENT (2004), Recursive Macroeconomic Theory, MIT Press, Cambridge, Mass.
MAGI A. (2004), Comportamento dei mercati azionari e scelte di portafoglio in una prospettiva di finanza comportamentale, Tesi di Dottorato, Dipartimento di Scienze Economiche, Università degli Studi di Roma "La Sapienza", Roma.
MAUAR L. e S. MALIAR (2003), "The representative consumer in the neo classical growth model with idiosyncratic shocks", Review of Economic Dynamics, vol. 6, no. 2, pp. 362-80.
MANKIW G. e S. ZELDES (1991), "The consumption of stockholders and non-stockholders", Journal of Financial Economics, val. 29, no. l, pp. 97-112.
MEHRA R. e E. PRESCOTI (1985), "The equity premium: a puzzle", Journal of Monetary Economics, val. 15, no. 2, pp. 145-61.
MICHAELIDES A. (2003), "International portfolio choice, liquidity constraints and the home equity bias puzzle", Journal of Economic Dynamics Et Control, val. 28, no. 3, pp. 555-94.
OBSTFELD M. e K. ROGOFF (2000), "The six major puzzles in international macroeconomics: is there a common cause?", in NBER Macroeconomics Annual, val. 15, pp. 339-90.
ODEAN T. (1998), "Volume, volatility, price and profit when all investors are above average", Journal of Finance, vol. 53, no. 6, pp. 1887-934.
RABIN M. (1998), "Psychology and economics", Journal of Economic Literature, val. 36, no. 1, pp. 11-46.
RABIN M. (2002), "A perspective on psychology and economics", European Economic Review, vol. 46, no.4-S, pp. 657-85.
ROSS, S. (2005), Neoclassical Finance, Princeton University Press, Princeton.
SAVAGE L. (1954), The Foundations of Statistics, Wiley, New York.
SIMON H. (1982), Models of Bounded Rationality, MIT Press, Cambridge, Mass.
SLOVIC P. (1972), "Psychological study of human judgment: implications for investment decision making", Journal of Finance, vol. 27, no. 4, pp. 779-99.
SOLNIK B. (1974), "An equilibrium model of the international capital market", Journal of Economic Theory, vol. 8, no. 4, pp. 500-24.
STOKEY N. e R. LUCAS (1989), Recursive Methods in Economic Dynamics, Harvard University Press, Cambridge, Mass.
STRACCA L. (2002), "Behavioral finance and aggregate market behavior: where do we stand?", ECB, mimeo.
STRACCA L. (2002), "The optimal allocation of risks under prospect theory", ECB Working Paper, no. 161.
TAUCHEN G. e R. HUSSEY (1991), "Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models", Econometrica, vol. 59, no. 2, pp. 371-96.
TE5AR L. e L WERNER (1995), "Home bias and high turnover", Journal of International Money and Finance, vol. 14, no. 4, pp. 467-92.
TESAR L. e I. WERNER (1998), "The internationalization of securities markets since the 1987 crash", in R. Litan e A. Santomero eds, Braokil1gs-Whartal1 Papers loss Financial Services, vol. 1, pp. 281-372.
TVERSKY A. e D. KAHNEMAN (1981), "The framing of decisions and the psychology of choice", Science, val. 211, no. 4481, pp. 453-58.
WEIL P. (1989), "The equity premium puzzle and the risk-free rate puzzle", Journal of Monetary Ecol1omics, vol. 24, no. 2, pp. 401-21.
Downloads
Issue
Section
License
All material in this website and every article published by the review are licensed under a Creative Commons Attribution - Non commercial - No derivates 4.0 International license. Authors retain all rights on their works and grant the right to first publication to the review under the aforementioned license.
