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- Title
Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios.
- Authors
Paravisini, Daniel; Rappoport, Veronica; Ravina, Enrichetta
- Abstract
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. Data, as supplemental material, are available at . This paper was accepted by Amit Seru, finance.
- Subjects
RISK aversion; LOSS aversion; INVESTMENTS; PORTFOLIO management (Investments); CROWD funding
- Publication
Management Science, 2017, Vol 63, Issue 2, p279
- ISSN
0025-1909
- Publication type
Article
- DOI
10.1287/mnsc.2015.2317