Time Preference and Speculative Stocks
34 Pages Posted: 11 Oct 2013 Last revised: 2 Dec 2015
Date Written: November 30, 2015
Abstract
Different investors have different time preferences, which lead to different investment horizons. We claim that short-term investors have a stronger preference for speculative stocks featuring high volatility and high skewness than long-term investors do. It is supported by both of the theoretical analysis using Ingersoll and Jin’s (2013) realization utility model and the empirical analysis following Bali, Cakici and Whitelaw's (2011) methodology.
Keywords: Time preference; Speculative stocks; Realization utility; Volatility preference; Skewness preference
JEL Classification: G02, G12
Suggested Citation: Suggested Citation