Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Amonlirdviman, Kevin 

Report
Loss aversion, asymmetric market comovements, and the home bias

Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk aversion. The intuition is that the different utility impact of wealth gains and losses leads loss-averse investors to behave similarly to investors with high risk aversion. But if so, should these agents not perceive larger gains from international diversification than standard expected-utility preference agents with plausible levels of risk aversion? They might not, because comovements in international stock markets are asymmetric: Correlations are higher in market downturns ...
Staff Reports , Paper 430

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

Report 1 items

FILTER BY Author

FILTER BY Keywords

PREVIOUS / NEXT