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  • 1.
    Hellström, Jörgen
    et al.
    Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Företagsekonomi.
    Olsson, Rickard
    Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Företagsekonomi.
    Stålnacke, Oscar
    Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Företagsekonomi.
    Evaluating measures of individual investors' expectations of risk and return2017Ingår i: Review of Behavioral Finance, ISSN 1940-5979, Vol. 9, nr 3, s. 206-226Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Purpose

    The purpose of this paper is to measure individual investors’ expectations of risk and return and to evaluate different expectation measures.

    Design/methodology/approach

    The authors measure individual investors’ expectations of risk and return regarding an index fund and two stocks using survey data on a random sample of individual investors in Sweden. The survey contains three different return and four different risk expectation measures. To evaluate the different expectation measures, three different evaluation perspectives are considered.

    Findings

    The risk expectations obtained from the different measures are positively correlated across respondents, but their average magnitudes differ considerably across measures. The return expectations are also positively correlated, and their magnitudes also differ, but to a lesser extent. Consequently, the same individual can express risk expectations that either underestimate or overestimate the forward risk, depending on the measure that is used. The variations in the expectations mainly relate to differences in the responses to the questions underlying the different measures, rather than to the methods used to obtain the expectations. The results from the evaluation of the measures indicate that the expectation measure proposed by Dominitz and Manski (2011) is the only measure for which it is possible to distinguish between individuals’ expectations, using all three of the evaluation perspectives.

    Originality/value

    This is, to the best of the authors’ knowledge, the first paper that evaluates different survey measures of individual investors’ expectations of risk and return.

  • 2.
    Stålnacke, Oscar
    Umeå universitet, Samhällsvetenskapliga fakulteten, Handelshögskolan vid Umeå universitet, Företagsekonomi.
    Individual investors’ sophistication and expectations of risk and return2019Ingår i: Review of Behavioral Finance, ISSN 1940-5979, Vol. 11, nr 1, s. 2-22Artikel i tidskrift (Refereegranskat)
    Abstract [en]

    Purpose – The purpose of this paper is to investigate the relationship between individual investors’ level of sophistication and their expectations of risk and return in the stock market.

    Design/methodology/approach – The author combines survey and registry data on individual investors in Sweden to obtain 11 sophistication proxies that previous research has related to individuals’ financial decisions. These proxies are related to a survey measure regarding individual investors’ expectations of risk and return in an index fund using linear regressions.

    Findings – The findings in this paper indicate that sophisticated investors have lower risk and higher return expectations that are closer to objective measures than those of less-sophisticated investors.

    Originality/value – These results are important, since they enhance the understanding of the underlying mechanisms through which sophistication can influence financial decisions.

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