From Aggregate Betting Data to Individual Risk Preferences

• 成果类型: Article
• 署名作者: Chiappori, Pierre-Andre; Salanie, Bernard; Salanie, Francois; Gandhi, Amit
• 署名单位: Columbia University; Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics; INRAE; University of Pennsylvania
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA11165
• 发表日期: 2019
• 页码: 1-36
• 关键词: utility; Heterogeneity; attitudes; CHOICE; identification; aversion; prices; BIAS

摘要

We show that even in the absence of data on individual decisions, the distribution of individual attitudes towards risk can be identified from the aggregate conditions that characterize equilibrium on markets for risky assets. Taking parimutuel horse races as a textbook model of contingent markets, we allow for heterogeneous bettors with very general risk preferences, including non-expected utility. Under a standard single-crossing condition on preferences, we identify the distribution of preferences among the population of bettors and we derive testable implications. We estimate the model on data from U.S. races. Specifications based on expected utility fit the data very poorly. Our results stress the crucial importance of nonlinear probability weighting. They also suggest that several dimensions of heterogeneity may be at work.