Asset Integration and Attitudes toward Risk: Theory and Evidence

Steffen Andersen, James C. Cox, Glenn W. Harrison, Morten Lau, E. Elisabet Rutström, Vjollca Sadiraj

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

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 premiums and certainty equivalents that are a priori plausible. This theory and evidence suggest one constructive solution to payoff calibration paradoxes.
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 premiums and certainty equivalents that are a priori plausible. This theory and evidence suggest one constructive solution to payoff calibration paradoxes.
SprogEngelsk
TidsskriftReview of Economics and Statistics
Vol/bind100
Udgave nummer5
Sider816-830
Antal sider15
ISSN0034-6535
DOI
StatusUdgivet - dec. 2018

Citer dette

Andersen, S., Cox, J. C., Harrison, G. W., Lau, M., Rutström, E. E., & Sadiraj, V. (2018). Asset Integration and Attitudes toward Risk: Theory and Evidence. Review of Economics and Statistics, 100(5), 816-830. DOI: 10.1162/rest_a_00719
Andersen, Steffen ; Cox, James C. ; Harrison, Glenn W. ; Lau, Morten ; Rutström, E. Elisabet ; Sadiraj, Vjollca. / Asset Integration and Attitudes toward Risk : Theory and Evidence. I: Review of Economics and Statistics. 2018 ; Bind 100, Nr. 5. s. 816-830
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Andersen, S, Cox, JC, Harrison, GW, Lau, M, Rutström, EE & Sadiraj, V 2018, 'Asset Integration and Attitudes toward Risk: Theory and Evidence' Review of Economics and Statistics, bind 100, nr. 5, s. 816-830. DOI: 10.1162/rest_a_00719

Asset Integration and Attitudes toward Risk : Theory and Evidence. / Andersen, Steffen; Cox, James C.; Harrison, Glenn W.; Lau, Morten; Rutström, E. Elisabet; Sadiraj, Vjollca.

I: Review of Economics and Statistics, Bind 100, Nr. 5, 12.2018, s. 816-830.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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Andersen S, Cox JC, Harrison GW, Lau M, Rutström EE, Sadiraj V. Asset Integration and Attitudes toward Risk: Theory and Evidence. Review of Economics and Statistics. 2018 dec;100(5):816-830. Tilgængelig fra, DOI: 10.1162/rest_a_00719