Do Behavioral Biases Adversely Affect the Macro-economy?

• 成果类型: Article
• 署名作者: Korniotis, George M.; Kumar, Alok
• 署名单位: University of Miami; University of Texas System; University of Texas Austin
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhq110
• 发表日期: 2011
• 页码: 1513
• 关键词: stock-market; cross-section; Consumption risk; prospect-theory; equity premium; UNITED-STATES; HOME BIAS; overconfidence; performance; familiarity

摘要

We investigate whether the adverse effects of investors' behavioral biases extend beyond the domain of financial markets to the broad macro-economy. Focusing on the income risk-sharing role of financial markets, we find that risk sharing is higher (more than double) in U.S. states where investors are more sophisticated and exhibit weaker behavioral biases. The potential for risk sharing varies geographically, but states with better risk-sharing opportunities are able to achieve higher levels of risk sharing only when investors in those states are more sophisticated. Collectively, these results indicate that investors' aggregate behavioral biases and their lack of financial sophistication adversely affect the local macro-economy.