Is Risk Aversion Really Correlated with Wealth? How Estimated Probabilities Introduce Spurious Correlation
通过实验数据，比较基于真实概率和基于估计概率的风险厌恶系数，发现估计概率会显著改变系数并引入风险厌恶与财富之间的虚假相关。
Abstract Economists frequently focus on correlations between wealth and risk preferences but rarely observe the probabilities needed to test this relationship empirically. These unobserved probabilities are typically estimated via profit or production functions conditioned on wealth correlates, which may leave statistical fingerprints on subsequently‐estimated risk aversion coefficients and confound correlations between wealth and risk preferences. Using data from an experiment with observable probabilities, we compare risk aversion coefficients based on true probabilities with those based on probabilities estimated using standard approaches and show how estimated probabilities can change risk aversion coefficients substantially and introduce spurious correlation between risk aversion and wealth.