Beliefs about beta : upside participation and downside protection

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dc.contributorAalto-yliopistofi
dc.contributorAalto Universityen
dc.contributor.authorMerkle, Christoph
dc.contributor.authorUngeheuer, Michael
dc.contributor.departmentDepartment of Financeen
dc.contributor.organizationAarhus University
dc.date.accessioned2025-09-24T05:49:24Z
dc.date.available2025-09-24T05:49:24Z
dc.date.embargoinfo:eu-repo/date/embargoEnd/2026-07-12
dc.date.issued2025-09-01
dc.description.abstractIn four large online experiments, we study how investors assess the relationship between stock portfolios and the market. Participants select or are randomly assigned a portfolio of stocks from a market index. They state portfolio return expectations conditional on different market outcomes, revealing implied beliefs about portfolio beta. We find general underestimation of beta which is stronger for downside beta. This asymmetry is amplified for participants who select their portfolio. They believe their portfolio goes up with the market but does not come down with it. We confirm biased beliefs about beta with financial professionals, monetary incentives, and alternative belief elicitation methods.en
dc.description.versionPeer revieweden
dc.format.extent40
dc.identifier.citationMerkle, C & Ungeheuer, M 2025, 'Beliefs about beta : upside participation and downside protection', Review of Finance, vol. 29, no. 5, rfaf028, pp. 1397-1436. https://doi.org/10.1093/rof/rfaf028en
dc.identifier.doi10.1093/rof/rfaf028
dc.identifier.issn1572-3097
dc.identifier.issn1573-692X
dc.identifier.otherPURE UUID: 3c5efcea-dfb1-4008-b9f6-11421a3a43af
dc.identifier.otherPURE ITEMURL: https://research.aalto.fi/en/publications/3c5efcea-dfb1-4008-b9f6-11421a3a43af
dc.identifier.urihttps://aaltodoc.aalto.fi/handle/123456789/139166
dc.identifier.urnURN:NBN:fi:aalto-202509247364
dc.language.isoenen
dc.publisherOxford University Press
dc.relation.fundinginfoSupport from the Aarhus Universitets Forskningsfond (grant no. AUFF-E-2019-7-20), the Danish Finance Institute (DFI), and the Foundation for the Advancement of Finnish Securities Markets is gratefully acknowledged.
dc.relation.ispartofseriesReview of Financeen
dc.relation.ispartofseriesVolume 29, issue 5, pp. 1397-1436en
dc.rightsembargoedAccessen
dc.subject.keywordBeta
dc.subject.keywordDiversification
dc.subject.keywordG11
dc.subject.keywordG12
dc.subject.keywordG41
dc.subject.keywordOverconfidence
dc.subject.keywordReturn expectations
dc.subject.keywordRisk expectations
dc.subject.keywordrisk expectations
dc.subject.keywordreturn expectations
dc.subject.keywordoverconfidence
dc.subject.keyworddiversification
dc.subject.keywordbeta
dc.titleBeliefs about beta : upside participation and downside protectionen
dc.typeA1 Alkuperäisartikkeli tieteellisessä aikakauslehdessäfi

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