Are the risk attitudes of professional investors affected by personal catastrophic experiences?
研究美国共同基金经理亲身经历严重自然灾害后，其投资组合风险的变化。发现灾难后一年内月度收益波动率下降约60个基点，三年后消失，且主要由系统性风险驱动。
Abstract We adopt a novel empirical approach to show that the risk attitudes of professional investors are affected by their catastrophic experiences—even for catastrophes without any meaningful economic impact on these investors or their portfolio firms. We study the portfolio risk of U.S.‐based mutual funds that invest outside the United States before and after fund managers personally experience severe natural disasters. Using a difference‐in‐differences approach, we compare managers in disaster versus nondisaster counties matched on prior disaster probability and fund characteristics. We find that monthly fund return volatility decreases by roughly 60 basis points in year +1 and the effect disappears by year +3. Systematic risk drives the results. Additional analyses do not support wealth effects (using disasters with no property damage) or managerial agency, skill, and catering explanations.