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  1. Peer effects and risk sharing in experimental asset markets
    Author: Baghestanian, Sascha; Gortner, Paul Julian; Weele, Joël J. van der
    Published: [2015]
    Publisher:  SAFE, Sustainable Architecture for Finance in Europe, Frankfurt am Main

    Previous research has documented strong peer effects in risk taking, but little is known about how such social influences affect market outcomes. Since the consequences of social interactions are hard to isolate in financial data, we design an... more

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 431
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    Previous research has documented strong peer effects in risk taking, but little is known about how such social influences affect market outcomes. Since the consequences of social interactions are hard to isolate in financial data, we design an experimental asset market with multiple risky assets and study how exogenous variation in real-time information about the portfolios of peer group members affects aggregate and individual risk taking. We find that peer information reduces under-diversification through changes in risk attitudes that last beyond the market environment. The effect of information depends on its framing: highlighting the highest earning trader increases willingness to take risk and average exposure in the market. Our results show that peer information is an important determinant of earnings volatility in financial markets, and we discuss implications for institutional design.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/203283
    Series: SAFE working paper ; no. 67
    Subjects: peer effects; laboratory experiments; risk taking; asset markets
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  2. Managerial performance incentives and firm risk during economic expansions and recessions
    Author: Şişli-Ciamarra, Elif; Savaser, Tanseli
    Published: 2015
    Publisher:  Brandeis Univ., Dep. of Economics, Waltham, Mass.

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Brandeis University, Department of Economics ; 93
    Subjects: executive compensation; risk taking; equity-based compensation; macroeconomy
    Scope: Online-Ressource (65, [19] S.), graph. Darst.
  3. Anxiety, overconfidence, and excessive risk taking
    Author: Eisenbach, Thomas M.; Schmalz, Martin C.
    Published: 2015
    Publisher:  Federal Reserve Bank of New York, New York, NY

    We provide a preference-based rationale for endogenous overconfidence. Horizon-dependent risk aversion, combined with a possibility to forget, can generate overconfidence and excessive risk taking in equilibrium. An "anxiety prone" agent, who is more... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 207 (711)
    Inter-library loan:
    No inter-library loan

     

    We provide a preference-based rationale for endogenous overconfidence. Horizon-dependent risk aversion, combined with a possibility to forget, can generate overconfidence and excessive risk taking in equilibrium. An "anxiety prone" agent, who is more risk-averse to imminent than to distant risks, has an incentive to distort her future self’s beliefs toward underestimating risk. Such self-deception can be achieved even if the future self is aware of the attempted distortion. We relate our results to the literature on empirically observed overconfidence and excessive risk taking in several domains of financial and other types of decision making.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/120836
    Series: Staff report / Federal Reserve Bank of New York ; 711
    Subjects: overconfidence; dynamic consistency; biases; deception; risk taking
    Scope: Online-Ressource ([1], 22 S.), graph. Darst.