Low Interest Rates and Risk-Taking: Evidence from Individual Investment Decisions

• 成果类型: Article
• 署名作者: Lian, Chen; Ma, Yueran; Wang, Carmen
• 署名单位: Massachusetts Institute of Technology (MIT); University of Chicago; Harvard University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy111
• 发表日期: 2019
• 页码: 2107
• 关键词: myopic loss aversion; prospect-theory; intertemporal substitution; PROFESSIONAL TRADERS; financial-markets; monetary-policy; eliciting risk; expectations; preferences; SALIENCE

摘要

How do low interest rates affect investor behavior? We demonstrate that individuals reach for yield, that is, have a greater appetite for risk-taking when interest rates are low. Using randomized investment experiments holding fixed risk premiums and risks, we show low interest rates lead to significantly higher allocations to risky assets among diverse populations. The behavior is not easily explained by conventional portfolio choice theory or institutional frictions. We then propose and provide evidence of mechanisms related to investor psychology, including reference dependence and salience. We also present results using observational data on household investment decisions.