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Replication data for: Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals

Version
V0
Resource Type
Dataset
Creator
  • Cohn, Alain
  • Engelmann, Jan
  • Fehr, Ernst
  • Maréchal, Michel André
Publication Date
2015-02-01
Description
  • Abstract

    Countercyclical risk aversion can explain major puzzles such as the high volatility of asset prices. Evidence for its existence is, however, scarce because of the host of factors that simultaneously change during financial cycles. We circumvent these problems by priming financial professionals with either a boom or a bust scenario. Subjects primed with a financial bust were substantially more fearful and risk averse than those primed with a boom, suggesting that fear may play an important role in countercyclical risk aversion. The mechanism described here is relevant for theory and may explain self-reinforcing processes that amplify market dynamics. (JEL E32, E44, G01, G11, G12)
Availability
Download
Relations
  • Is supplement to
    DOI: 10.1257/aer.20131314 (Text)
Publications
  • Cohn, Alain, Jan Engelmann, Ernst Fehr, and Michel André Maréchal. “Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals.” American Economic Review 105, no. 2 (February 2015): 860–85. https://doi.org/10.1257/aer.20131314.
    • ID: 10.1257/aer.20131314 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Cohn, Alain; Engelmann, Jan; Fehr, Ernst; Maréchal, Michel André (2015): Replication data for: Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112955