Abstract

http://ssrn.com/abstract=1507902
 
 

References (38)



 
 

Citations (2)



 


 



Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios


Daniel Paravisini


London School of Economics & Political Science (LSE); Columbia Business School - Finance and Economics

Veronica Rappoport


London School of Economics & Political Science (LSE)

Enrichetta Ravina


Columbia Business School - Finance and Economics

November 13, 2014


Abstract:     
We estimate risk aversion from investors’ financial decisions in a person-to-person lending platform. We develop a method that obtains a risk aversion parameter from each portfolio choice. Since the same individuals invest repeatedly, we construct a panel dataset that we use to disentangle heterogeneity in attitudes towards risk across investors, from the elasticity of risk aversion to changes in wealth. We find that wealthier investors are more risk averse in the cross section, and that investors become more risk averse after a negative housing wealth shock. Thus, investors exhibit preferences consistent with decreasing relative risk aversion and habit formation.

Number of Pages in PDF File: 57

Keywords: Risk Aversion, Panel Data, Credit Market

JEL Classification: E21, G11, D12, D14

working papers series





Download This Paper

Date posted: November 20, 2009 ; Last revised: November 14, 2014

Suggested Citation

Paravisini, Daniel and Rappoport, Veronica and Ravina, Enrichetta, Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios (November 13, 2014). Available at SSRN: http://ssrn.com/abstract=1507902 or http://dx.doi.org/10.2139/ssrn.1507902

Contact Information

Daniel Paravisini
London School of Economics & Political Science (LSE) ( email )
Houghton Street
London, WC2A 2AE
United Kingdom
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

Veronica Rappoport
London School of Economics & Political Science (LSE) ( email )
Houghton Street
London, WC2A 2AE
United Kingdom
Enrichetta Ravina (Contact Author)
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States
HOME PAGE: http://www0.gsb.columbia.edu/faculty/eravina/research.html

Feedback to SSRN


Paper statistics
Abstract Views: 2,379
Downloads: 595
Download Rank: 24,137
References:  38
Citations:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.407 seconds