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The document summarizes three simulations that examine how often investors would need to evaluate their portfolios to explain the equity premium if they have prospect theory preferences. The first simulation found the evaluation period would be 13 months for nominal returns or 11 months for real returns. The second simulation determined the optimal portfolio mix was 47% bonds and 53% stocks. The third simulation showed increasing the evaluation period from 1 year would decrease the equilibrium equity premium.
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Presentation-Youjeong
- 1. If investors have prospect theory preferences, how often would they have to evaluate their portfolios to explain the equity premium?
- 2. Questions • What evaluation period would make investors indifferent between stocks and bonds? • For an investors with the evaluation period, what combination of stocks and bonds would maximize prospective utility?
- 3. First Simulation • Samples of monthly returns (1926 – 1990) - Stocks, Bonds(5yrs) and T-bills • Method 1. Ranking distribution of returns 2. Computing at twenty intervals prospective utility for the holding period
- 4. Results: Nominal returns 13 months
- 5. Results: Real returns 11 months
- 6. Questions about the result • Which aspects of prospect theory drive the results? - Loss aversion • How sensitive are the results to alternative specifications? - Loss aversion factor of 2.77
- 7. Second Simulation • Reliability check on the previous results • Optimal mix of stocks and bonds • Method: computing prospective utility of portfolio mix between 100% bonds and 100% stocks (in 10% increments)
- 8. Result On average, 47% bonds & 53% stocks
- 9. Summary of two Simulations • 1-year evaluation period Indifferent between stock and bond • Key aspect: Loss aversion (2.77)
- 10. Third Simulation • Theory = Loss aversion + Frequent evaluation • Frequency of evaluation - can be altered - stocks become attractive as evaluation period increases • By how much would the equilibrium equity premium fall if the evaluation period increased?
- 11. Result Actual equity premium (6.5%) is consistent with 1-year evaluation period
- 12. Summary of last simulation • 1-year evaluation period: actual equity premium • 20-year horizon: indifferent between stocks and bonds • Myopia makes potential rents