NDLI: Wealth effects of time variation in investor risk preferences

Content Provider	Springer Nature Link
Author	Niendorf, Bruce Ottaway, Thomas
Copyright Year	2002
Abstract	We investigate the source of risk premiums: individual risk preferences. By examining the wealth characteristics of agents of different risk preferences, we study the financial incentive of investors to demonstrate different risk preferences. To accomplish this, we model the stock market utilizing artificial adaptive agents. If investors have incentive to vary their risk preferences, or if investors of a constant risk preference vary the way they participate in the market under different market conditions, this could lead to time variation in market risk premiums. We find that agents have significant incentive to demonstrate different risk preferences under different market conditions.(JEl G12)
Starting Page	77
Ending Page	87
Page Count	11
File Format	PDF
ISSN	10550925
Journal	Journal of Economics and Finance
Volume Number	26
Issue Number	1
e-ISSN	19389744
Language	English
Publisher	Springer US
Publisher Date	2002-01-01
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Economics general Financial Economics Finance /Banking
Content Type	Text
Resource Type	Article
Subject	Finance Economics and Econometrics

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1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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Wealth effects of time variation in investor risk preferences