A DISCRETE CHOICE ANALYSIS OF THE ASSET DEMAND BEHAVIOR OF INDIVIDUAL INVESTORS
Abstract
This thesis is an empirical investigation of asset demand behavior using disaggregate behavioral modelling techniques. A direct test of an expected utility maximizing model of portfolio choice behavior is developed using a logit model estimated from observations on individual investors' portfolio choice decisions. Related to this, a nested logit framework is developed and estimated to test the decision hierarchy proposed by the limited diversification portfolio selection literature. In addition, an intertemporal model of transactions behavior is developed and a logit specification used to model the security acquisition decision. Results of portfolio holdings model estimations are consistent with implications of the Mean-Variance theory of portfolio choice behavior. Sampled investor behavior is also consistent with the decision structure proposed by the limited diversification literature. Results of the transaction model suggest the need for the development of a theoretical framework in which the transaction behavior of individual investor's may be analysed. In the transaction model estimated the attributes of the previous period's portfolio holdings were found to be insignificant determinants of transaction behavior in the current period.
Degree
Ph.D.
Subject Area
Finance
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