메뉴 건너뛰기




Volumn 63, Issue 2, 2017, Pages 279-297

Risk aversion and wealth: Evidence from person-to-person lending portfolios

Author keywords

Crowdfunding; Portfolio choice; Risk aversion

Indexed keywords

FINANCE; RISK ANALYSIS;

EID: 85013638392     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.2015.2317     Document Type: Article
Times cited : (147)

References (56)
  • 1
    • 84864297058 scopus 로고    scopus 로고
    • Identifying distributional characteristics in random coefficients panel data models
    • Arellano M, Bonhomme S (2012) Identifying distributional characteristics in random coefficients panel data models. Rev. Econom. Stud. 79(3):987-1020.
    • (2012) Rev. Econom. Stud. , vol.79 , Issue.3 , pp. 987-1020
    • Arellano, M.1    Bonhomme, S.2
  • 2
    • 0039739798 scopus 로고    scopus 로고
    • Mental accounting, loss aversion, and individual stock returns
    • Barberis N, Huang M (2001) Mental accounting, loss aversion, and individual stock returns. J. Finance 56(4):1247-1292.
    • (2001) J. Finance , vol.56 , Issue.4 , pp. 1247-1292
    • Barberis, N.1    Huang, M.2
  • 3
    • 33847618000 scopus 로고    scopus 로고
    • Individual preferences, monetary gambles, and stock market participation:Acase for narrow framing
    • BarberisN, Huang M, ThalerRH(2006) Individual preferences, monetary gambles, and stock market participation:Acase for narrow framing. Amer. Econom. Rev. 96(4):1069-1090.
    • (2006) Amer. Econom. Rev. , vol.96 , Issue.4 , pp. 1069-1090
    • Barberis, N.1    Huang, M.2    Thaler, R.H.3
  • 4
    • 79955031532 scopus 로고    scopus 로고
    • Are risk preferences stable across contexts? Evidence from insurance data
    • Barseghyan L, Prince J, Teitelbaum J (2011) Are risk preferences stable across contexts? Evidence from insurance data. Amer. Econom. Rev. 101(2):591-631.
    • (2011) Amer. Econom. Rev. , vol.101 , Issue.2 , pp. 591-631
    • Barseghyan, L.1    Prince, J.2    Teitelbaum, J.3
  • 6
    • 0001099198 scopus 로고    scopus 로고
    • Preference parameters and behavioral heterogeneity: An experimental approach in the health and retirement study
    • Barsky RB, Juster FT, Kimball MS, Shapiro MD (1997) Preference parameters and behavioral heterogeneity: An experimental approach in the health and retirement study. Quart. J. Econom. 112(2):537-579.
    • (1997) Quart. J. Econom. , vol.112 , Issue.2 , pp. 537-579
    • Barsky, R.B.1    Juster, F.T.2    Kimball, M.S.3    Shapiro, M.D.4
  • 7
    • 0000894355 scopus 로고    scopus 로고
    • Efficiency, risk aversion and portfolio insurance: An analysis of financial asset portfolio held by investors in the United Kingdom
    • Blake D (1996) Efficiency, risk aversion and portfolio insurance: An analysis of financial asset portfolio held by investors in the United Kingdom. Econom. J. 106(136):1175-1192.
    • (1996) Econom. J. , vol.106 , Issue.136 , pp. 1175-1192
    • Blake, D.1
  • 8
    • 0000675388 scopus 로고
    • The demand for risky assets
    • Blume M, Friend I (1975) The demand for risky assets. Amer. Econom. Rev. 65(5):900-922.
    • (1975) Amer. Econom. Rev. , vol.65 , Issue.5 , pp. 900-922
    • Blume, M.1    Friend, I.2
  • 9
    • 84868627147 scopus 로고    scopus 로고
    • Risk aversion and expected utility theory: An experiment with large and small stakes
    • Bombardini M, Trebbi F (2012) Risk aversion and expected utility theory: An experiment with large and small stakes. J. Eur. Econom. Assoc. 10(6):1348-1399.
    • (2012) J. Eur. Econom. Assoc. , vol.10 , Issue.6 , pp. 1348-1399
    • Bombardini, M.1    Trebbi, F.2
  • 10
    • 62949214695 scopus 로고    scopus 로고
    • Do wealth fluctuations generate time-varying risk aversion? Micro-evidence on individuals
    • Brunnermeier M, Nagel S (2008) Do wealth fluctuations generate time-varying risk aversion? Micro-evidence on individuals. Amer. Econom. Rev. 98(3):713-736.
    • (2008) Amer. Econom. Rev. , vol.98 , Issue.3 , pp. 713-736
    • Brunnermeier, M.1    Nagel, S.2
  • 11
    • 33845876485 scopus 로고    scopus 로고
    • Changes in U.S. Family finances from 2004 to 2007: Evidence from the survey of consumer finances
    • Bucks B, KennickelA, Mach T, Moore K (2009) Changes inU.S. family finances from 2004 to 2007: Evidence from the survey of consumer finances. Federal Reserve Bull. 95:A1-A55.
    • (2009) Federal Reserve Bull. , vol.95 , pp. A1-A55
    • Bucks, B.1    Kennickel, A.2    Mach, T.3    Moore, K.4
  • 12
    • 36649025502 scopus 로고    scopus 로고
    • Habit formation and macroeconomic models of the term structure of interest rates
    • Buraschi A, Jiltsov A (2007) Habit formation and macroeconomic models of the term structure of interest rates. J. Finance 62(6): 3009-3063.
    • (2007) J. Finance , vol.62 , Issue.6 , pp. 3009-3063
    • Buraschi, A.1    Jiltsov, A.2
  • 13
    • 84897878488 scopus 로고    scopus 로고
    • Twin picks: Disentangling the determinants of risk-taking in household portfolios
    • Calvet L, Sodini P (2014) Twin picks: Disentangling the determinants of risk-taking in household portfolios. J. Finance 69(2):867-906.
    • (2014) J. Finance , vol.69 , Issue.2 , pp. 867-906
    • Calvet, L.1    Sodini, P.2
  • 14
    • 62949175134 scopus 로고    scopus 로고
    • Fight or flight? Portfolio rebalancing by individual investors
    • Calvet LE, Campbell JY, Sodini P (2009) Fight or flight? Portfolio rebalancing by individual investors. Quart. J. Econom. 124(1): 301-348.
    • (2009) Quart. J. Econom. , vol.124 , Issue.1 , pp. 301-348
    • Calvet, L.E.1    Campbell, J.Y.2    Sodini, P.3
  • 15
    • 0032771542 scopus 로고    scopus 로고
    • By force of habit: A consumptionbased explanation of aggregate stock market behavior
    • Campbell J, Cochrane J (1999) By force of habit: A consumptionbased explanation of aggregate stock market behavior. J. Political Econom. 107(2):205-251.
    • (1999) J. Political Econom. , vol.107 , Issue.2 , pp. 205-251
    • Campbell, J.1    Cochrane, J.2
  • 16
    • 0002456472 scopus 로고    scopus 로고
    • Non-linear behavior in sealed bid first price auctions
    • Chen KY, Plott C (1998) Non-linear behavior in sealed bid first price auctions. Games Econom. Behav. 25(1):34-78.
    • (1998) Games Econom. Behav. , vol.25 , Issue.1 , pp. 34-78
    • Chen, K.Y.1    Plott, C.2
  • 17
    • 82355170545 scopus 로고    scopus 로고
    • Risk aversion is constant: Evidence from panel data
    • Chiappori P-A, Paiella M (2011) Risk aversion is constant: Evidence from panel data. J. Eur. Econom. Assoc. 9(6):1021-1052.
    • (2011) J. Eur. Econom. Assoc. , vol.9 , Issue.6 , pp. 1021-1052
    • Chiappori, P.-A.1    Paiella, M.2
  • 20
    • 38049131876 scopus 로고    scopus 로고
    • Consistency and heterogeneity of individual behavior under uncertainty
    • Choi S, Fisman R, Gale D, Kariv S (2007) Consistency and heterogeneity of individual behavior under uncertainty. Amer. Econom. Rev. 97(5):1921-1938.
    • (2007) Amer. Econom. Rev. , vol.97 , Issue.5 , pp. 1921-1938
    • Choi, S.1    Fisman, R.2    Gale, D.3    Kariv, S.4
  • 21
    • 84937315677 scopus 로고
    • A microeconomic analysis of risk aversion and the decision to self-insure
    • Cicchetti C, Dubin J (1994) A microeconomic analysis of risk aversion and the decision to self-insure. J. Political Econom. 102(11): 169-186.
    • (1994) J. Political Econom. , vol.102 , Issue.11 , pp. 169-186
    • Cicchetti, C.1    Dubin, J.2
  • 22
    • 34547313737 scopus 로고    scopus 로고
    • Estimating risk preferences from deductible choice
    • Cohen A, Einav L (2007) Estimating risk preferences from deductible choice. Amer. Econom. Rev. 97(3):745-788.
    • (2007) Amer. Econom. Rev. , vol.97 , Issue.3 , pp. 745-788
    • Cohen, A.1    Einav, L.2
  • 23
    • 1842443296 scopus 로고
    • Individual investor risk aversion and investment portfolio composition
    • Cohn RA, Lewellen WG, Lease RC, Schlarbaum GG (1975) Individual investor risk aversion and investment portfolio composition. J. Finance 30(2):605-620.
    • (1975) J. Finance , vol.30 , Issue.2 , pp. 605-620
    • Cohn, R.A.1    Lewellen, W.G.2    Lease, R.C.3    Schlarbaum, G.G.4
  • 24
    • 33646771384 scopus 로고    scopus 로고
    • Small- and large-stakes risk aversion: Implications of concavity calibration for decision theory
    • Cox J, Sadiraj V (2006) Small- and large-stakes risk aversion: Implications of concavity calibration for decision theory. Games Econom. Behav. 56(1):45-60.
    • (2006) Games Econom. Behav. , vol.56 , Issue.1 , pp. 45-60
    • Cox, J.1    Sadiraj, V.2
  • 25
    • 85013671455 scopus 로고    scopus 로고
    • How general are risk preferences? Choice under uncertainty in different domains
    • Einav L, Finkelstein A, Pascu I, Cullen MR (2012) How general are risk preferences? Choice under uncertainty in different domains. Amer. Econom. Rev. 21(1):415-448.
    • (2012) Amer. Econom. Rev. , vol.21 , Issue.1 , pp. 415-448
    • Einav, L.1    Finkelstein, A.2    Pascu, I.3    Cullen, M.R.4
  • 26
    • 84949489014 scopus 로고    scopus 로고
    • Wall Street's siren song lures P2P lenders into treacherous seas
    • (October 5)
    • Ford J (2014) Wall Street's siren song lures P2P lenders into treacherous seas. Financial Times (October 5), http://www.ft.com/intl/cms/s/0/0b9746fc-4c83-11e4-90c1-00144feab7de.html#axzz 3wK4PQgrL.
    • (2014) Financial Times
    • Ford, J.1
  • 27
    • 1642479015 scopus 로고    scopus 로고
    • A model of noisy introspection
    • Goeree J, Holt C (2004) A model of noisy introspection. Games Econom. Behav. 46(2):365-382.
    • (2004) Games Econom. Behav. , vol.46 , Issue.2 , pp. 365-382
    • Goeree, J.1    Holt, C.2
  • 28
    • 0036275062 scopus 로고    scopus 로고
    • Quantal response equilibrium and overbidding in private-value auctions
    • Goeree J, Holt C, Palfrey T (2002) Quantal response equilibrium and overbidding in private-value auctions. J. Econom. Theory 104(1): 247-272.
    • (2002) J. Econom. Theory , vol.104 , Issue.1 , pp. 247-272
    • Goeree, J.1    Holt, C.2    Palfrey, T.3
  • 29
    • 0037756142 scopus 로고    scopus 로고
    • Risk averse behavior in generalized matching pennies games
    • Goeree J, Holt C, Palfrey T (2003) Risk averse behavior in generalized matching pennies games. Games Econom. Behav. 45(1):97-113.
    • (2003) Games Econom. Behav. , vol.45 , Issue.1 , pp. 97-113
    • Goeree, J.1    Holt, C.2    Palfrey, T.3
  • 30
    • 0035050788 scopus 로고    scopus 로고
    • Wealth inequality and asset pricing
    • Gollier C (2001) Wealth inequality and asset pricing. Rev. Econom. Stud. 68(1):181-203.
    • (2001) Rev. Econom. Stud. , vol.68 , Issue.1 , pp. 181-203
    • Gollier, C.1
  • 31
    • 52449100382 scopus 로고    scopus 로고
    • Asset pricing with limited risk sharing and heterogeneous agents
    • Gomes F, Michaelides A (2008) Asset pricing with limited risk sharing and heterogeneous agents. Rev. Financial Stud. 21(1):415-448.
    • (2008) Rev. Financial Stud. , vol.21 , Issue.1 , pp. 415-448
    • Gomes, F.1    Michaelides, A.2
  • 32
    • 45849102668 scopus 로고    scopus 로고
    • Risk aversion, wealth, and background risk
    • Guiso L, Paiella M (2008) Risk aversion, wealth, and background risk. J. Eur. Econom. Assoc. 6(6):1109-1150.
    • (2008) J. Eur. Econom. Assoc. , vol.6 , Issue.6 , pp. 1109-1150
    • Guiso, L.1    Paiella, M.2
  • 33
    • 71549158840 scopus 로고    scopus 로고
    • A parsimonious macroeconomic model for asset pricing
    • Guvenen F (2009) A parsimonious macroeconomic model for asset pricing. Econometrica 77(6):1711-1750.
    • (2009) Econometrica , vol.77 , Issue.6 , pp. 1711-1750
    • Guvenen, F.1
  • 34
    • 34548316609 scopus 로고    scopus 로고
    • Estimating risk attitudes in Denmark: A field experiment
    • Harrison G, Lau M, Rutstrom E (2007a) Estimating risk attitudes in Denmark: A field experiment. Scand. J. Econom. 109(2):341-368.
    • (2007) Scand. J. Econom. , vol.109 , Issue.2 , pp. 341-368
    • Harrison, G.1    Lau, M.2    Rutstrom, E.3
  • 35
    • 33847384554 scopus 로고    scopus 로고
    • Naturally occurring preferences and exogenous laboratory experiments: A case study of risk aversion
    • Harrison G, Lau M, Towe C (2007b) Naturally occurring preferences and exogenous laboratory experiments: A case study of risk aversion. Econometrica 75(2):433-458.
    • (2007) Econometrica , vol.75 , Issue.2 , pp. 433-458
    • Harrison, G.1    Lau, M.2    Towe, C.3
  • 36
    • 0037756148 scopus 로고    scopus 로고
    • Risk aversion and incentive effects
    • Holt CA, Laury SK (2002) Risk aversion and incentive effects. Amer. Econom. Rev. 92(5):1644-1655.
    • (2002) Amer. Econom. Rev. , vol.92 , Issue.5 , pp. 1644-1655
    • Holt, C.A.1    Laury, S.K.2
  • 38
    • 0033853199 scopus 로고    scopus 로고
    • Estimating preferences under risk: The case of racetrack bettors
    • Jullien B, Salanie B (2000) Estimating preferences under risk: The case of racetrack bettors. J. Political Econom. 108(3):503-530.
    • (2000) J. Political Econom. , vol.108 , Issue.3 , pp. 503-530
    • Jullien, B.1    Salanie, B.2
  • 39
    • 74949089532 scopus 로고    scopus 로고
    • Empirical evidence on the preferences of racetrack bettors
    • Hausch D, Ziemba B, eds. , (North-Holland, Amsterdam)
    • Jullien B, Salanie B (2008) Empirical evidence on the preferences of racetrack bettors. Hausch D, Ziemba B, eds. Efficiency of Sports and Lottery Markets, (North-Holland, Amsterdam), 27-49.
    • (2008) Efficiency of Sports and Lottery Markets , pp. 27-49
    • Jullien, B.1    Salanie, B.2
  • 40
    • 0002426025 scopus 로고    scopus 로고
    • The equity premium: It's still a puzzle
    • Kocherlakota N (1996) The equity premium: It's still a puzzle. J. Econom. Literature 34(1):42-71.
    • (1996) J. Econom. Literature , vol.34 , Issue.1 , pp. 42-71
    • Kocherlakota, N.1
  • 41
    • 52449087211 scopus 로고    scopus 로고
    • Habit formation, incomplete markets, and the significance of regional risk for expected returns
    • Korniotis G (2008) Habit formation, incomplete markets, and the significance of regional risk for expected returns. Rev. Financial Stud. 21(5):2139-2172.
    • (2008) Rev. Financial Stud. , vol.21 , Issue.5 , pp. 2139-2172
    • Korniotis, G.1
  • 42
    • 79957501469 scopus 로고    scopus 로고
    • Do older investors make better investment decisions? Rev
    • Korniotis G, Kumar A (2011) Do older investors make better investment decisions? Rev. Econom. Statist. 93(1):244-265.
    • (2011) Econom. Statist. , vol.93 , Issue.1 , pp. 244-265
    • Korniotis, G.1    Kumar, A.2
  • 43
    • 84874137168 scopus 로고    scopus 로고
    • Judging borrowers by the company they keep: Friendship networks and information asymmetry in online peer-to-peer lending
    • Lin M, Prabhala N, Viswanathan S (2013) Judging borrowers by the company they keep: Friendship networks and information asymmetry in online peer-to-peer lending. Management Sci. 59(1):17-35.
    • (2013) Management Sci. , vol.59 , Issue.1 , pp. 17-35
    • Lin, M.1    Prabhala, N.2    Viswanathan, S.3
  • 46
    • 77649143468 scopus 로고
    • Risk aversion revisited
    • Morin R-A, Suarez AF (1983) Risk aversion revisited. J. Finance 38(4):1201-1216.
    • (1983) J. Finance , vol.38 , Issue.4 , pp. 1201-1216
    • Morin, R.-A.1    Suarez, A.F.2
  • 47
    • 33845702123 scopus 로고    scopus 로고
    • Life cycle portfolio choice with additive habit formation preferences and uninsurable income risk
    • Polkovnichenko V (2007) Life cycle portfolio choice with additive habit formation preferences and uninsurable income risk. Rev. Financial Stud. 20(1):83-124.
    • (2007) Rev. Financial Stud. , vol.20 , Issue.1 , pp. 83-124
    • Polkovnichenko, V.1
  • 48
    • 41849142005 scopus 로고    scopus 로고
    • Deal or no deal? Decision making under risk in a large-payoff game show
    • Post T, van den Assem MJ, Baltussen G, Thaler RH (2008) Deal or no deal? Decision making under risk in a large-payoff game show. Amer. Econom. Rev. 98(1):38-71.
    • (2008) Amer. Econom. Rev. , vol.98 , Issue.1 , pp. 38-71
    • Post, T.1    Van Den Assem, M.J.2    Baltussen, G.3    Thaler, R.H.4
  • 49
    • 0001006304 scopus 로고    scopus 로고
    • Risk aversion and expected-utility theory: A calibration theorem
    • Rabin M (2000) Risk aversion and expected-utility theory: A calibration theorem. Econometrica 68(5):1281-1292.
    • (2000) Econometrica , vol.68 , Issue.5 , pp. 1281-1292
    • Rabin, M.1
  • 50
    • 0000296878 scopus 로고    scopus 로고
    • Anomalies: Risk aversion
    • Rabin M, Thaler R (2001) Anomalies: Risk aversion. J. Econom. Perspect. 15(1):219-232.
    • (2001) J. Econom. Perspect. , vol.15 , Issue.1 , pp. 219-232
    • Rabin, M.1    Thaler, R.2
  • 51
    • 1842722217 scopus 로고    scopus 로고
    • Response from MatthewRabin and Richard H
    • Rabin M, Thaler R (2002) Response from MatthewRabin and Richard H. Thaler. J. Econom. Perspect. 16(2):229-230.
    • (2002) Thaler. J. Econom. Perspect. , vol.16 , Issue.2 , pp. 229-230
    • Rabin, M.1    Thaler, R.2
  • 53
    • 77957161005 scopus 로고    scopus 로고
    • Habit formation, the cross section of stock returns and the cash flow risk puzzle
    • Santos T, Veronesi P (2010) Habit formation, the cross section of stock returns and the cash flow risk puzzle. J. Financial Econom. 98(2):385-413.
    • (2010) J. Financial Econom. , vol.98 , Issue.2 , pp. 385-413
    • Santos, T.1    Veronesi, P.2
  • 54
    • 77952335471 scopus 로고    scopus 로고
    • Risk and time preferences: Linking experimental and household survey data fromVietnam
    • Tanaka T, Camerer CF, Nguyen Q (2010) Risk and time preferences: Linking experimental and household survey data fromVietnam. Amer. Econom. Rev. 100(1):557-571.
    • (2010) Amer. Econom. Rev. , vol.100 , Issue.1 , pp. 557-571
    • Tanaka, T.1    Camerer, C.F.2    Nguyen, Q.3
  • 55
    • 0002787901 scopus 로고
    • How to use security analysis to improve portfolio selection
    • Treynor J, Black F (1973) How to use security analysis to improve portfolio selection. J. Bus. 46(1):66-86.
    • (1973) J. Bus. , vol.46 , Issue.1 , pp. 66-86
    • Treynor, J.1    Black, F.2
  • 56
    • 41649088639 scopus 로고    scopus 로고
    • Prices under habit formation and referencedependent preferences
    • Yogo M (2008) Prices under habit formation and referencedependent preferences. J. Bus. Econom. Statist. 26(2):131-143.
    • (2008) J. Bus. Econom. Statist. , vol.26 , Issue.2 , pp. 131-143
    • Yogo, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.