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Asset Integration and Attitudes toward Risk : Theory and Evidence

Andersen, Steffen (författare)
Department of Finance, Copenhagen Business School, Copenhagen, Denmark,Copenhagen Business School (DK)
Cox, James C. (författare)
Department of Economics and Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University, USA,Georgia State University (US)
Harrison, Glenn W. (författare)
Department of Risk Management & Insurance and Center for the Economic Analysis of Risk, Robinson College of Business, Georgia State University, USA,Georgia State University (US)
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Lau, Morten I. (författare)
Department of Economics, Copenhagen Business School, Copenhagen, Denmark,Copenhagen Business School (DK)
Rutström, Elisabet, 1955- (författare)
Stockholm School of Economics,Handelshögskolan i Stockholm,Örebro universitet,Handelshögskolan vid Örebro Universitet,Center for the Economic Analysis of Risk, Robinson College of Business, Georgia State University, USA; Department of Economics, Stockholm School of Economics, Stockholm, Sweden
Sadiraj, Vjollca (författare)
Department of Economics and Experimental Economics Center, Andrew Young School of Policy Studies, Georgia State University, USA,Georgia State University (US)
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 (creator_code:org_t)
MIT Press, 2018
2018
Engelska.
Ingår i: Review of Economics and Statistics. - : MIT Press. - 0034-6535 .- 1530-9142. ; 100:5, s. 816-830
Relaterad länk:
http://dro.dur.ac.uk...
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https://research.hhs... (primary) (Object in context)
https://urn.kb.se/re...
https://doi.org/10.1...
https://research.hhs...
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  • Tidskriftsartikel (refereegranskat)
Abstract Ämnesord
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  • We provide evidence that choices over small stakes bets are consistent with assumptions of some payoff calibration paradoxes. We then exploit the existence of detailed information on individual wealth of our experimental subjects in Denmark, and directly estimate risk attitudes and the degree of asset integration. We discover that behavior is consistent with partial, rather than full, asset integration. The implied risk attitudes from estimating these specifications indicate risk premia and certainty equivalents that are a priori plausible. This theory and evidence suggest one constructive solution to payoff calibration paradoxes.

Ämnesord

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
SOCIAL SCIENCES  -- Economics and Business -- Economics (hsv//eng)

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