Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals

• 成果类型: Article
• 署名作者: Cohn, Alain; Engelmann, Jan; Fehr, Ernst; Marechal, Michel Andre
• 署名单位: University of Zurich
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20131314
• 发表日期: 2015
• 页码: 860-885
• 关键词: stock-prices; MEASURING EMOTION; fear; preferences; attitudes; determinants; uncertainty; BEHAVIOR; MARKETS; ANXIETY

摘要

Countercyclical risk aversion can explain major puzzles such as the high volatility of asset prices. Evidence for its existence is, however, scarce because of the host of factors that simultaneously change during financial cycles. We circumvent these problems by priming financial professionals with either a boom or a bust scenario. Subjects primed with a financial bust were substantially more fearful and risk averse than those primed with a boom, suggesting that fear may play an important role in countercyclical risk aversion. The mechanism described here is relevant for theory and may explain self-reinforcing processes that amplify market dynamics.