Narrow search
Showing 1 - 10 of 2,598
Cover Image
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/10013087877
Cover Image
Insurance and Opportunities : A Welfare Analysis of Labor Market Risk
Heathcote, Jonathan - 2008
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/10012773175
Cover Image
Inferring Risk Perceptions and Preferences Using Choice from Insurance Menus : Theory and Evidence
Ericson, Keith M. Marzilli - 2015
Demand for insurance can be driven by high risk aversion or high risk. We show how to separately identify risk … preferences and risk types using only choices from menus of insurance plans. Our revealed preference approach does not rely on … in insurance plans, offered separately to random cross-sections or offered as part of the same menu to one cross …
Persistent link: https://www.econbiz.de/10013010289
Cover Image
Predicting Insurance Demand from Risk Attitudes
Jaspersen, Johannes Gerd; Ragin, Marc A.; Sydnor, Justin R. - 2022
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/10013312498
Cover Image
Index Investing and Asset Pricing Under Information Asymmetry and Ambiguity Aversion
Hirshleifer, David A. - 2017
Ambiguity aversion alone does not explain the market nonparticipation puzzle. We show that in a rational expectations equilibrium model with a fund offering the risk-adjusted market portfolio (RAMP), ambiguity averse investors hold the fund and an information-based portfolio, and thus...
Persistent link: https://www.econbiz.de/10012940801
Cover Image
Optimal Currency Diversification for a Class of Risk Averse International Investors
Braga de Macedo, Jorge - 2010
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/10012763133
Cover Image
Mental Accounting, Loss Aversion, and Individual Stock Returns
Barberis, Nicholas - 2010
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/10012763180
Cover Image
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/10013058249
Cover Image
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/10012983660
Cover Image
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/10013077968