Journal of Financial Economics·Volume 128, Issue 3·June 2018

时变的风险厌恶

作者：Luigi Guiso（EIEF; CEPR）

Paola Sapienza（CEPR; Northwestern University; NBER）

Luigi Zingales（CEPR; NBER; University of Chicago）

摘要：利用投资组合数据和对意大利银行客户的重复调查，我们测试了2008年危机后投资者的风险厌恶情绪是否有所增加。我们发现，在危机之后，风险厌恶的定性和定量测量均大幅增加，受影响的个人剥离了更多股票。我们调查了四种解释：财富的变化，预期收入，感知概率以及基于情绪的效用函数变化。我们的数据与前两个渠道不一致，但它们表明恐惧是财务决策的潜在机制，无论是通过增加效用函数的曲率还是显著的负面结果。

Time varying risk aversion

Luigi Guiso（EIEF; CEPR）

Paola Sapienza（CEPR; Northwestern University; NBER）

Luigi Zingales（CEPR; NBER; University of Chicago）

ABSTRACT

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.

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18300461#!

翻译：何杉