Market shocks and professionals’ investment behavior – Evidence from the COVID-19 crash
通过对比2019年12月和2020年3月金融专业人士在实验中的投资行为，发现市场崩盘后投资额下降12%，原因是风险厌恶上升而非信念改变，这对理解极端事件如何影响投资决策有参考价值。
We investigate how the experience of extreme events, such as the COVID-19 market crash, influence risk-taking behavior. To isolate changes in risk-taking from other factors, we ran controlled experiments with finance professionals in December 2019 and March 2020. We observe that their investments in the experiment were 12 percent lower in March 2020 than in December 2019, although their price expectations had not changed, and although they considered the experimental asset less risky during the crash than before. This lower perceived risk is likely due to adaptive normalization, as volatility during the shock is compared to volatility experienced in real markets (which was low in December 2019, but very high in March 2020). Lower investments during the crash can be supported by higher risk aversion, not by changes in beliefs.