Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals
通过让金融专业人士分别想象繁荣或萧条场景，发现萧条场景显著增加恐惧和风险厌恶，为反周期风险厌恶提供了实验证据，有助于解释资产价格高波动等市场现象。
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.