Dorn, Daniel; Huberman, Gur - In: Journal of Financial Economics 97 (2010) 1, pp. 155-173
The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks whose volatilities are commensurate with their risk aversion. The data, 1995-2000 holdings of over 20,000 clients at a large German broker, are consistent with the predictions of the hypothesis:...