Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios

• 成果类型: Article
• 署名作者: Paravisini, Daniel; Rappoport, Veronica; Ravina, Enrichetta
• 署名单位: University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; Columbia University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2015.2317
• 发表日期: 2017
• 页码: 279-297
• 关键词: Risk aversion; portfolio choice; Crowdfunding

摘要

We estimate risk aversion from investors' financial decisions in a person-to-person lending platform. We develop a method that obtains a risk-aversion parameter from each portfolio choice. Since the same individuals invest repeatedly, we construct a panel data set that we use to disentangle heterogeneity in attitudes toward risk across investors, from the elasticity of risk aversion to changes in wealth. We find that wealthier investors are more risk averse in the cross section and that investors become more risk averse after a negative housing wealth shock. Thus, investors exhibit preferences consistent with decreasing relative risk aversion and habit formation.