Macroeconomic Risk and Idiosyncratic Risk-taking
نویسندگان
چکیده
منابع مشابه
Depression Babies: Do Macroeconomic Experiences Affect Risk-taking? Depression Babies: Do Macroeconomic Experiences Affect Risk-taking?
We investigate whether individuals’ experiences of macro-economic outcomes have long-term effects on their risk attitudes, as often suggested for the generation that experienced the Great Depression. Using data from the Survey of Consumer Finances from 1964-2004, we find that individuals who have experienced low stock-market returns throughout their lives report lower willingness to take financ...
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We study the motivation of an entrepreneur to provide disclosure that works primarily to reduce investors’assessment of the firm’s idiosyncratic risk. We refer to this disclosure as “idiosyncratic disclosure.”We assume that the firm’s cash flows are determined by both idiosyncratic and systematic events. The model shows that when the entrepreneur faces a capital market where competition to acqu...
متن کاملDepression Babies: Do Macroeconomic Experiences Affect Risk Taking?
We investigate whether individual experiences of macroeconomic shocks affect financial risk taking, as often suggested for the generation that experienced the Great Depression. Using data from the Survey of Consumer Finances from 1960-2007, we find that individuals who have experienced low stock-market returns throughout their lives so far report lower willingness to take financial risk, are le...
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In economies subject to uninsurable idiosyncratic risks, competitive equilibrium allocations are constrained inefficient: reallocations of assets support Pareto superior allocations. This is the case even if the asset market for the allocation of aggregate risks is complete. © 2011 Elsevier Inc. All rights reserved. JEL classification: D52; D60; H20
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This paper uses Hansen and Jagannathan’s (1991) volatility bounds to evaluate models with idiosyncratic consumption risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and the distribution of the idiosyncratic shock is independent of the aggregate state. Following Mankiw (1986), I then show that idiosyncratic risk can help to en...
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ژورنال
عنوان ژورنال: The Review of Financial Studies
سال: 2018
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhy066