Time varying risk aversion
成果类型：
Article
署名作者：
Guiso, Luigi; Sapienza, Paola; Zingales, Luigi
署名单位：
Centre for Economic Policy Research - UK; Northwestern University; National Bureau of Economic Research; University of Chicago
刊物名称：
JOURNAL OF FINANCIAL ECONOMICS
ISSN/ISSBN：
0304-405X
DOI：
10.1016/j.jfineco.2018.02.007
发表日期：
2018
页码：
403-421
关键词：
摘要：
Exploiting portfolio data and repeated surveys of an Italian bank's clients, we test whether investors' risk aversion increases following the 2008 crisis. We find that, after the crisis, both qualitative and quantitative measures of risk aversion increase substantially and that affected individuals divest more stock. We investigate four explanations: changes in wealth, expected income, perceived probabilities, and emotion-based changes of the utility function. Our data are inconsistent with the first two channels, while they suggest that fear is a potential mechanism underlying financial decisions, whether by increasing the curvature of the utility function or the salience of negative outcomes. (C) 2018 Published by Elsevier B.V.
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