What Makes an Investment Risky? An Analysis of Price Path Characteristics
What Makes an Investment Risky? An Analysis of Price Path Characteristics
复制标题
是什么让投资有风险？
DOI：
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复制
发表时间：
2019
影响因子：
2.2
通讯作者：
Stefan Zeisberger
中科院分区：
文献类型：
--
作者：
Charlotte Borsboom;Stefan Zeisberger
摘要本文研究了金融资产历史价格路径特征对投资者风险感知、收益信念和投资倾向的影响。为此，我们进行了一系列调查实验，向在金融事务中有既得利益的个人展示各种价格模式。我们的研究结果表明，具有相同的每日和每月回报（因此相同的回报标准差）的价格路径可能导致投资者的风险感知存在很大差异，这表明历史波动率不足以解释风险感知。高点、低点和崩盘等显著特征是价格路径中感知风险的最有影响力的驱动因素。回报预测主要由过去的整体回报和最近的价格发展驱动。感知风险和回报信念强烈预测投资倾向。
Abstract We examine the influence of financial asset historical price path characteristics on investors’ risk perception, return beliefs and investment propensity. To that end, we run a series of survey experiments in which we present various price patterns to individuals with vested interest in financial matters. Our findings reveal that price paths with identical daily and monthly returns (and consequently identical return standard deviation) can lead to substantially different risk perception by investors, indicating that historical volatility is insufficient to explain risk perception. Salient features such as highs, lows and crashes are the most influential drivers of perceived risk in price paths. Return forecasts are primarily driven by past overall returns and the most recent price developments. Perceived risk and return beliefs strongly predict investment propensity.
DOI：
10.1093/rfs/hhp097
发表时间：
2010-04-01
期刊：
The review of financial studies
影响因子：
--
作者：
Choi JJ;Laibson D;Madrian BC
通讯作者：
Madrian BC
DOI：
--
发表时间：
--
期刊：
--
影响因子：
--
作者：
Cary Frydman;Antonio Rangel
通讯作者：
Cary Frydman;Antonio Rangel
影响因子：
5.4
作者：
Baucells, Manel;Weber, Martin;Welfens, Frank
通讯作者：
Welfens, Frank