Diversification and Its Discontents: Idiosyncratic and Entrepreneurial Risk in the Quest for Social Status

• 成果类型: Article
• 署名作者: Roussanov, Nikolai
• 署名单位: University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01593.x
• 发表日期: 2010
• 页码: 1755-1788
• 关键词: portfolio choice; asset prices; relative-income; consumption; WEALTH; INEQUALITY; PRIVATE; STOCK; familiarity; INVESTMENT

摘要

Social status concerns influence investors' decisions by driving a wedge in attitudes toward aggregate and idiosyncratic risks. I model such concerns by emphasizing the desire to get ahead of the Joneses, which implies that aversion to idiosyncratic risk is lower than aversion to aggregate risk. The model predicts that investors hold concentrated portfolios in equilibrium, which helps rationalize the small premium for undiversified entrepreneurial risk. In the model, status concerns are more important for wealthier households. Consequently, these households own a disproportionate share of risky assets, particularly private equity, and experience greater volatility of consumption, consistent with empirical evidence.