Twin Picks: Disentangling the Determinants of Risk- Taking in Household Portfolios

• 成果类型: Article
• 署名作者: Calvet, Laurent E.; Sodini, Paolo
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Stockholm School of Economics
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12125
• 发表日期: 2014
• 页码: 867-906
• 关键词: habit formation; BEHAVIORAL HETEROGENEITY; borrowing constraints; genetic-variation; term structure; consumption; CHOICE; demand; aversion; WEALTH

摘要

This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also affects risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our microfindings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative-agent models.