The Risk Preferences of US Executives

• 成果类型: Article
• 署名作者: Brenner, Steffen
• 署名单位: Copenhagen Business School
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2013.1882
• 发表日期: 2015
• 页码: 1344-1361
• 关键词: CRRA preferences; TOP EXECUTIVES; calibration method

摘要

In this paper, I elicit risk attitudes of U.S. executives by calibrating a subjective option valuation model for option exercising data (1996 to 2008), yielding approximately 65,000 values of relative risk aversion (RRA) for almost 7,000 executives. The observed behavior is generally consistent with moderate risk aversion and a median (mean) RRA close to one (three). Values are validated for chief executive officers (CEOs) by testing theory-based predictions on the influence of individual characteristics on risk preferences such as gender, marital status, religiosity, and intelligence. Senior managers such as CEOs, presidents, and chairpersons of the boards of directors are significantly less risk averse than non-senior executives. RRA heterogeneity is strongly correlated with sector membership and firm-level variables such as size, performance, and capital structure. Alternative factors influencing option exercises are tested for their influence on RRA values.