Replication data for: Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals
Principal Investigator(s): View help for Principal Investigator(s) Alain Cohn; Jan Engelmann; Ernst Fehr; Michel André Maréchal
Version: View help for Version V1
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Project Citation:
Cohn, Alain, Engelmann, Jan, Fehr, Ernst, and Maréchal, Michel André. Replication data for: Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals. Nashville, TN: American Economic Association [publisher], 2015. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E112955V1
Project Description
Summary:
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Countercyclical risk aversion can explain major puzzles such as the
high volatility of asset prices. Evidence for its existence is, however,
scarce because of the host of factors that simultaneously change
during financial cycles. We circumvent these problems by priming
financial professionals with either a boom or a bust scenario.
Subjects primed with a financial bust were substantially more fearful
and risk averse than those primed with a boom, suggesting that fear
may play an important role in countercyclical risk aversion. The
mechanism described here is relevant for theory and may explain
self-reinforcing processes that amplify market dynamics. (JEL E32,
E44, G01, G11, G12)
Scope of Project
JEL Classification:
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E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G01 Financial Crises
G11 Portfolio Choice; Investment Decisions
G12 Asset Pricing; Trading Volume; Bond Interest Rates
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G01 Financial Crises
G11 Portfolio Choice; Investment Decisions
G12 Asset Pricing; Trading Volume; Bond Interest Rates
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