Risk Aversion and Auction Design: Theoretical and Empirical Evidence

Author(s):  
Shoshana Vasserman ◽  
Mitchell Watt
Author(s):  
Whelan Peter

This concluding chapter provides final remarks on the theoretical, legal, and practical challenges of European antitrust criminalization. It also determines five different research questions that should be addressed by future researchers. First, more detailed, reliable empirical evidence on the motivations of cartelists and whether or not they act in accordance with the rationality assumption of deterrence theory is required. Second, detailed qualitative and quantitative research concerning the usefulness of information exchange within the European Competition Network (ECN) would also be useful. Third, empirical evidence should be generated concerning whether consumers actually assume that their suppliers are not engaged in cartel activity with their competitors. Fourth, empirical studies on the extent to which risk aversion is a characteristic of corporate entities need to be pursued. Finally, empirical evidence on the cultural sensitivity of perceptions of cartel activity among the citizens of the different EU Member States would be welcome.


2009 ◽  
Vol 44 (5) ◽  
pp. 1013-1044 ◽  
Author(s):  
Antti Petajisto

AbstractRepresentative agent models are inconsistent with existing empirical evidence for steep demand curves for individual stocks. This paper resolves the puzzle by proposing that stock prices are instead set by two separate classes of investors. While the market portfolio is still priced by individual investors based on their collective risk aversion, those individual investors also delegate part of their wealth to active money managers, who use that capital to price stocks in the cross section. In equilibrium, the fee charged by active managers has to equal the before-fee alpha they earn. This endogenously determines the amount of active capital and the slopes of demand curves. A calibration of the model reveals that demand curves can be steep enough to match the magnitude of many empirical findings, including the price effects for stocks entering or leaving the S&P 500 index.


2006 ◽  
Vol 6 (7) ◽  
pp. 1490-1498 ◽  
Author(s):  
Franklin Simtowe ◽  
John Mduma . ◽  
Alexander Phiri . ◽  
Alban Thomas . ◽  
Manfred Zeller .

2015 ◽  
Vol 24 (5) ◽  
pp. 519-530 ◽  
Author(s):  
Ahmed Driouchi ◽  
Mingzhu Wang ◽  
Tarik Driouchi

2014 ◽  
Vol 2014 ◽  
pp. 1-9 ◽  
Author(s):  
Fenghua Wen ◽  
Zhifang He ◽  
Xu Gong ◽  
Aiming Liu

Taking the stock market as a whole object, we assume that prior losses and gains are two different factors that can influence risk preference separately. The two factors are introduced as separate explanatory variables into the time-varying GARCH-M (TVRA-GARCH-M) model. Then, we redefine prior losses and gains by selecting different reference point to study investors’ time-varying risk preference. The empirical evidence shows that investors’ risk preference is time varying and is influenced by previous outcomes; the stock market as a whole exhibits house money effect; that is, prior gains can decrease investors’ risk aversion while prior losses increase their risk aversion. Besides, different reference points selected by investors will cause different valuation of prior losses and gains, thus affecting investors’ risk preference.


2019 ◽  
Vol 13 (2) ◽  
Author(s):  
Yoichiro Fujii ◽  
Noriko Inakura

Abstract This study examines the consistency in risk aversion between hypothetical and actual choices in medical insurance. Utilizing a unique survey in which individuals in Japan are asked about their perception of a hypothetical necessary amount for hospitalization benefits and the actual insurance contract amount at the time of hospitalization, the study identifies that the gap between the hypothetical and actual domains is not constant. Even between two similar domains of hospital benefits selection, the gap is found to vary depending on respondents’ anxiety about future medical expenses, their level of financial literacy, and other personal attributes such as age and occupation. The results of this study strongly suggest a need for exercising caution when using the degree of risk aversion obtained by hypothetical questions, questionnaire surveys, and experiments to predict actual behavior.


2021 ◽  
pp. 1-19
Author(s):  
Alberto Chong ◽  
Joan Martínez

We provide empirical evidence supporting a causal link between education and risk attitudes when using representative data from representative surveys and artefactual or lab-on-the-field experiments in Lima, Peru. We employ three standard experimental measures of risk attitudes and find that each is positively correlated with years of education. Furthermore, we suggest that this relationship may be causal as we take advantage of an identification strategy that exploits an exogenous boom in the construction of new schools in Lima, providing evidence that more education may increase risk attitudes. Our findings are further confirmed when applying a broad set of robustness tests.


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