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

Name	File Type	Size	Last Modified
20131314_data			10/12/2019 01:23:AM
LICENSE.txt	text/plain	14.6 KB	10/11/2019 09:23:PM

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: 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:
      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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V1 [2019-10-12]

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DDI 2.5

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