Skewness Expectations and Portfolio Choice

114 Pages Posted: 19 May 2022 Last revised: 14 Apr 2023

See all articles by Tilman H. Drerup

Tilman H. Drerup


Matthias Wibral

IZA Institute of Labor Economics; Maastricht University, School of Business and Economics

Christian Zimpelmann


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Many models of investor behavior predict that investors prefer assets that they believe to have positively skewed return distributions. We provide a direct test of this prediction in a representative sample of the Dutch population. Using individual-level data on return expectations for a broad index and a single stock, we show that portfolio allocations increase with the skewness of respondents' return expectations for the respective asset, controlling for other moments of a respondents' expectations and sociodemographic information. We also show that while an individuals' expectations are correlated across assets, sociodemographics only capture very little of the substantial heterogeneity in expectations.

Keywords: stock market expectations, skewness, behavioral finance, portfolio choice

JEL Classification: D14, D84, G02, G11

Suggested Citation

Drerup, Tilman H. and Wibral, Matthias and Wibral, Matthias and Zimpelmann, Christian, Skewness Expectations and Portfolio Choice. IZA Discussion Paper No. 15018, Available at SSRN: or

Tilman H. Drerup (Contact Author)


United States

Matthias Wibral

IZA Institute of Labor Economics

P.O. Box 7240
Bonn, D-53072

Maastricht University, School of Business and Economics ( email )

P.O. Box 616
Maastricht, 6200 MD

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