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Portfolio choice in the presence of nontradeable income: an experimental analysis
In: Working papers 109
Savings and Consumption When Children Move Out
In: Review of Finance, Volume 20, Issue 6, pp. 2349-2377, October 2016, DOI: 10.1093/rof/rfv064
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Streaks in Daily Returns
In: Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
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Working paper
Impact of Presentation Format and Self-Reported Risk Aversion on Revealed Skewness Preferences
In: Decision analysis: a journal of the Institute for Operations Research and the Management Sciences, INFORMS, Band 6, Heft 2, S. 57-74
ISSN: 1545-8504
This paper reports the results of an experiment on the revealed preference for skewness in a comparison of continuous return distributions. We find that revealed preferences are highly sensitive to the way asset risks are communicated. Whereas probability density functions lead to a pronounced preference for left-skewed distributions, the opposite is true for cumulative distribution functions. Systematic misperceptions of the variance cannot explain the sensitivity of preferences to the presentation format. Part of the preference for positive skewness when risks are communicated through probability density functions is due to a systematic misestimation of the expected return. We also find that self-reported risk aversion, a measure of risk attitude commonly used in practice, is a valuable predictor of skewness preferences. Individuals that judge themselves as more risk averse show a stronger preference for right skewness.
Investment decisions and time horizon: risk perception and risk behavior in repeated gambles
In: Working papers 119
Optimists, Pessimists and Stock Prices
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Non-Standard Errors
In: Journal of Finance Forthcoming
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