Brunnermeier, Markus K, Christian Gollier, and Jonathan A Parker. “Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns”. The American Economic Review 97 (2007): , 97, 159-165. Print.
Different households overinvest in different positively skewed assets, making portfolio returns idiosyncratically skewed and lowering returns on these skewed assets.