| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15333 |
| 来源ID | Working Paper 15333 |
| Risk Aversion and Clientele Effects | |
| Douglas W. Blackburn; William N. Goetzmann; Andrey D. Ukhov | |
| 发表日期 | 2009-09-10 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | We use traded options on growth and value indices to test for clientele differences in risk preferences. Value investors appear to have exhibited a higher average level of risk aversion than growth investors for two different time periods in the late 1990's and early 2000's. We construct a model of time-varying clientele preferences that allows investors with different levels of risk-aversion to switch between investment styles conditional upon the evolution of returns and risk. The model makes predictions about the autocorrelations structure of measured risk parameters and also about the autocorrelation and cross-autocorrelation of fund flows by style. Empirical tests of the model provide evidence consistent with the existence of style switchers--investors who move funds between growth and value securities. We construct trading strategies in the value and growth index options markets that effectively buy risk from one clientele and sell it to another. These strategies generated modest positive returns over the period of study. |
| 主题 | Microeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15333 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573008 |
| 推荐引用方式 GB/T 7714 | Douglas W. Blackburn,William N. Goetzmann,Andrey D. Ukhov. Risk Aversion and Clientele Effects. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15333.pdf（355KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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