Twin Picks: Disentangling the Determinants of Risk- Taking in Household Portfolios
Twin Picks: Disentangling the Determinants of Risk- Taking in Household Portfolios
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DOI：
10.1111/jofi.12125
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发表时间：
2014-04-01
影响因子：
8
通讯作者：
Sodini, Paolo
中科院分区：
文献类型：
--
作者：
Calvet, Laurent E.;Sodini, Paolo
本文研究了瑞典双胞胎的流动性投资组合中的风险承担。我们证明了投资于风险资产的投资组合份额是金融财富的递增和凹函数，导致投资者对风险的敏感性不同。人力资本（直接由个人劳动收入估算）对风险承担也有正向影响，而内部习惯和支出承诺则有降低风险承担的趋势，微观研究结果为降低相对风险厌恶和习惯形成偏好提供了强有力的支持。此外，不同投资者的风险敏感性差异有助于协调个人偏好与代表-代理模型。
This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also affects risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our microfindings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative-agent models.