Keywords
information aggregation, investment risk, return distributions
Abstract
Many experiments have found that participants take more investment risk if they see less frequent returns, portfolio-level returns (rather than each individual asset’s returns), or longhorizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment environment more realistic than in prior experiments. Previously documented aggregation effects are not robust to changes in the risky asset’s return distribution or to the introduction of a multiday delay between portfolio choice and return realizations.
Original Publication Citation
“Does Aggregated Return Disclosure Increase Portfolio Risk Taking?” 2017. Review of Financial Studies 30(6): 1971-2005 (with John Beshears, James J. Choi and David Laibson). http://dx.doi.org/10.1093/rfs/hhw086
BYU ScholarsArchive Citation
Beshears, John; Choi, James J.; Laibson, David; and Madrian, Brigitte C., "Does Aggregated Returns Disclosure Increase Portfolio Risk Taking?" (2017). Faculty Publications. 9025.
https://scholarsarchive.byu.edu/facpub/9025
Document Type
Peer-Reviewed Article
Publication Date
2017
Publisher
Review of Financial Studies
Language
English
College
Marriott School of Business
Department
Finance
Copyright Status
© The Authors 2016. Published by Oxford University Press on behalf of The Society for Financial Studies.
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https://lib.byu.edu/about/copyright/