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Ambiguity Aversion and Household Portfolio Choice : Empirical Evidence

Dimmock, Stephen G. - 2013

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 under- diversification. In a representative U.S. household survey, we measure ambiguity aversion using...

Persistent link: https://www.econbiz.de/10012459919

Predicting Insurance Demand from Risk Attitudes

Jaspersen, Johannes G. - 2019

Can measured risk attitudes and associated structural models predict insurance demand? In an experiment (n = 1,730), we … insurance choices over different loss probabilities and prices. The insurance choices show coherence and some correlation with … various risk-attitude measures. Yet all the structural models predict insurance poorly, often less accurately than random …

Persistent link: https://www.econbiz.de/10012480452

Insurance and Opportunities : A Welfare Analysis of Labor Market Risk

Heathcote, Jonathan - 2007

Using a model with constant relative risk-aversion preferences, endogenous labor supply and partial insurance against … cost associated with missing insurance markets. On the other hand, greater wage dispersion presents opportunities to raise …

Persistent link: https://www.econbiz.de/10012464971

Optimal Currency Diversification for a Class of Risk Averse International Investors

de Macedo, Jorge Braga - 1982

In the framework of continuous-time finance theory, this paper derives the optimal consumption and portfolio rules for an international investor with constant expenditure shares [alpha, sub j] and constant relative risk aversion [1-gamma] in a dynamic context. The index of value obtained from...

Persistent link: https://www.econbiz.de/10012478146

Molecular Genetics, Risk Aversion, Return Perceptions, and Stock Market Participation

Sias, Richard - 2020

We show that molecular variation in DNA related to cognition, personality, health, and body shape, predicts an individual's equity market participation and risk aversion. Moreover, the molecular genetic endowments predict individuals' return perceptions, most of which we find to be strikingly...

Persistent link: https://www.econbiz.de/10012481186

Mental Accounting, Loss Aversion, and Individual Stock Returns

Barberis, Nicholas - 2001

We study equilibrium firm-level stock returns in two economies: one in which investors are loss averse over the fluctuations of their stock portfolio and another in which they are loss averse over the fluctuations of individual stocks that they own. Both approaches can shed light on empirical...

Persistent link: https://www.econbiz.de/10012470536

Can Myopic Loss Aversion Explain the Equity Premium Puzzle? Evidence from a Natural Field Experiment with Professional Traders

Larson, Francis - 2016

Behavioral economists have recently put forth a theoretical explanation for the equity premium puzzle based on combining myopia and loss aversion. Complementing the behavioral theory is evidence from laboratory experiments, which provide strong empirical support consistent with myopic loss...

Persistent link: https://www.econbiz.de/10012456074

What Makes US Government Bonds Safe Assets?

He, Zhiguo - 2016

US government bonds are widely considered to be the world's safe store of value. US government bonds are a large fraction of safe asset portfolios, such as the porfolios of many central banks. The world demand for safe assets leads to low yields on US Treasury bonds. During periods of economic...

Persistent link: https://www.econbiz.de/10012456656

The Safety Trap

Caballero, Ricardo J. - 2014

In this paper we provide a model of the macroeconomic implications of safe asset shortages. In particular, we discuss the emergence of a deflationary safety trap equilibrium with endogenous risk premia. It is an acute form of a liquidity trap, in which the shortage of a specific form of assets,...

Persistent link: https://www.econbiz.de/10012458738

Time Varying Risk Aversion

Guiso, Luigi - 2013

We use a repeated survey of an Italian bank's clients to test whether investors' risk aversion increases following the 2008 financial crisis. We find that both a qualitative and a quantitative measure of risk aversion increases substantially after the crisis. After considering standard...

Persistent link: https://www.econbiz.de/10012459377

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