We study the role of risk preferences and frictions in portfolio choice using variation in 401(k) default options … observed allocations. We use this quasi-experiment to estimate a life cycle model and find a relative risk aversion of 2, EIS …

Investor confidence and risk tolerance are important concepts that investors are constantly trying to gauge. Yet these … changes in demand and fundamentals perceived by all investors, and a second that reflects changes in the relative risk … tolerance of institutional investors over and above that of domestics. The latter component, changes in relative risk tolerance …

with empirical evidence, the model shows that (a) value stocks are those with higher cash-flow risk; (b) the size of the … value premium is larger in "bad times," due to time variation in risk preferences; (c) the unconditional CAPM fails, because …

We investigate the impact of financial windfalls on household portfolio choices and risk exposure. Exploiting the … both constant and decreasing relative risk aversion and analyze how our empirical estimates help distinguish between …

to earn higher returns, or investing more broadly to reduce risk through diversification. Using a novel, deal …, but are also the least risky. Returns and risk are both increasing in industry or geographic concentration. And while GP … deal selection, to seek risk-adjusted fund-level returns …

bias inferences regarding program impacts. Our incentivized experiment reveals how such selection influences estimated …