Does Aggregated Returns Disclosure Increase Portfolio Risk Taking?

• 成果类型: Article
• 署名作者: Beshears, John; Choi, James J.; Laibson, David; Madrian, Brigitte C.
• 署名单位: Harvard University; National Bureau of Economic Research; Yale University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw086
• 发表日期: 2017
• 页码: 1971
• 关键词: myopic loss aversion; prospect-theory; EVALUATION PERIODS; asset prices; gambles; choices

摘要

Many experiments have found that participants take more investment risk if they see less frequent returns, portfolio-level returns (rather than each individual asset's returns), or longhorizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment environment more realistic than in prior experiments. Previously documented aggregation effects are not robust to changes in the risky asset's return distribution or to the introduction of a multiday delay between portfolio choice and return realizations.