What Drives Investors' Portfolio Choices? Separating Risk Preferences from Frictions
利用401(k)默认选项的准实验，发现94%的投资者偏好持有股票，但参与摩擦导致实际持股偏低；估计出相对风险厌恶系数2.5、跨期替代弹性0.25和160美元调整成本，表明低参与率源于摩擦而非非标准偏好。
ABSTRACT We study the role of risk preferences and frictions in portfolio choice using variation in 401(k) default options. Patterns of active choice in response to different default funds imply that, absent participation frictions, 94% of investors prefer holding stocks, with an equity share of retirement wealth declining with age—patterns markedly different from observed allocations. We use this quasi‐experiment to estimate a life‐cycle model and find a relative risk aversion of 2.5, elasticity of intertemporal substitution (EIS) of 0.25, and $160 portfolio adjustment cost. The results suggest that low levels of stock market participation in retirement accounts are due to participation frictions rather than nonstandard preferences such as loss aversion.