Individual vs. Aggregate Preferences: The Case of a Small Fish in a Big Pond
研究个体风险偏好与总体经济风险偏好的关系，发现全部由风险寻求者组成的经济体可能表现出风险厌恶，反之亦然，这对理解行为金融与资产定价的关联有重要意义。
We study the relationship between the risk preferences of individuals and the risk preferences of the aggregate economy. To emphasize the vast differences that can occur between individual and market preferences brought about through aggregation, we assume an economy consisting entirely of risk seekers. We show that such individuals can lead to an aggregate economy that is risk averse. The converse is also true. An aggregate economy that exhibits risk aversion does not imply an economy of individual risk averters. An economy demanding a risk premium can be formed from individuals who do not demand such compensation. Understanding the relationship between the preferences of individuals and the preferences of the aggregate economy is crucial for understanding the connection between the behavioral finance literature, which focuses on individual preferences, and the asset-pricing literature, which focuses on aggregate prices. We discuss empirical implications of these results. This paper was accepted by Wei Xiong, finance.