Stephen G. Dimmock

Publications45
h-index15
Citations974
Highly Influential Citations108
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Ambiguity aversion and household portfolio choice puzzles: Empirical evidence.
We test the relation between ambiguity aversion and five household portfolio choice puzzles: nonparticipation in equities, low allocations to equity, home-bias, own-company stock ownership, and… Expand
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Ambiguity Attitudes in a Large Representative Sample
TLDR
We introduce a tractable method for measuring ambiguity attitudes, which requires only three observations and five minutes per subject, and we apply this method in a large representative sample. Expand
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How University Endowments Respond to Financial Market Shocks: Evidence and Implications
Endowment payouts have become an increasingly important component of universities’ revenues in recent decades. We test two leading theories of endowment payouts: (1) universities smooth endowment… Expand
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Ambiguity Attitudes in a Large Representative Sample
Using a theorem showing that matching probabilities of ambiguous events can capture ambiguity attitudes, we introduce a tractable method for measuring ambiguity attitudes and apply it in a large… Expand
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Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field
We develop a tractable method to estimate multiple prior models of decision-making under ambiguity. In a representative sample of the U.S. population, we measure ambiguity attitudes in the gain and… Expand
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Loss-Aversion and Household Portfolio Choice
In this paper we empirically test if loss-aversion affects household participation in equity markets, household allocations to equity, and household allocations between mutual funds and individual… Expand
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Background Risk and University Endowment Funds
This paper tests the effect of background risk on university endowment portfolios, where background risk is defined as the volatility of universities' nonfinancial income. The results show that… Expand
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Benchmarking Money Manager Performance: Issues and Evidence
TLDR
We assess the relative merits of several of the most widely-used procedures, including variants of matched-characteristic benchmark portfolios and time-series return regressions, by applying them to a sample of active money managers and passive indexes. Expand
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Predicting Fraud by Investment Managers
We test the predictability of investment fraud using a panel of mandatory disclosures filed with the SEC. We find that disclosures related to past regulatory and legal violations, conflicts of… Expand
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Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence
We test the relation between ambiguity aversion and five household portfolio choice puzzles: non- participation, low allocations to equity, home-bias, own-company stock ownership, and portfolio… Expand
  • 36
  • 3
  • PDF