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Time varying risk aversion
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DOI：10.1016/j.jfineco.2018.02.007.png)
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Abstract
En 中文
Exploiting portfolio data and repeated surveys of an Italian bank's clients, we test whether investors' risk aversion increases following the 2008 crisis. We find that, after the crisis, both qualitative and quantitative measures of risk aversion increase substantially and that affected individuals divest more stock. We investigate four explanations: changes in wealth, expected income, perceived probabilities, and emotion-based changes of the utility function. Our data are inconsistent with the first two channels, while they suggest that fear is a potential mechanism underlying financial decisions, whether by increasing the curvature of the utility function or the salience of negative outcomes. (C) 2018 Published by Elsevier B.V.
Keywords:
STOCK-MARKET
GENDER-DIFFERENCES
BACKGROUND RISK
ATTITUDES
PORTFOLIO
CHOICE
DETERMINANTS
PREFERENCES
BEHAVIOR
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