Publication: Does investor risk perception drive asset prices in markets? Experimental evidence
Does investor risk perception drive asset prices in markets? Experimental evidence
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Zeisberger, S., Huber, J., & Palan, S. (2019). Does investor risk perception drive asset prices in markets? Experimental evidence. Journal of Banking and Finance, 108, 105635–105635. https://doi.org/10.1016/j.jbankfin.2019.105635
Abstract
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We explore how individual risk perception influences prices and trading behavior in a market setting. Specifically, our study lets experimental participants trade assets characterized by varying shapes of return distributions. While common mean-variance models predict identical prices for most of our assets, we find trading prices to differ significantly. Assets that are perceived as being less risky on average (despite having identical volatility) trade at significantly higher prices. Individually, traders who perceive a certain asse
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- Huber, Jürgen
- Palan, Stefan
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Zeisberger, S., Huber, J., & Palan, S. (2019). Does investor risk perception drive asset prices in markets? Experimental evidence. Journal of Banking and Finance, 108, 105635–105635. https://doi.org/10.1016/j.jbankfin.2019.105635
