Empirical evidence on risk aversion for individual romanian capital market investors
The evolution of stock prices is influenced by the expectations of investors regarding the earning prospects associated to each listed company. One of the key elements of investment decision is the positive relationship between risk and return. Risky securities are preferred to less risky ones only if there is a higher pay-off in the long run that could compensate the investors. The previous studies proved that expected return direct correlated with risk and, due to the presence of risk aversion, this relationship is assumed to be positive one. Risk premium is determined by a lot of factors including risk aversion. The intensity of risk aversion and the evolution of it during a specific period of time are very important for any market. This study proposed an analysis of risk aversion that is based on a specific survey and it is very useful for comparative analysis with other similar studies developed on the case of other emerging markets (from EU or outside EU).
Volume (Year): 1 (2008)
Issue (Month): (December)
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- Kapteyn, A. & Teppa, F., 2002.
"Subjective Measures of Risk Aversion and Portfolio Choice,"
2002-11, Tilburg University, Center for Economic Research.
- Arie Kapteyn & Federica Teppa, 2002. "Subjective Measures of Risk Aversion and Portfolio Choice," Working Papers 02-03, RAND Corporation Publications Department.
- Clifford B. Hawley & Edwin T. Fujii, 1994. "An Empirical Analysis of Preferences for Financial Risk: Further Evidence on the Friedman-Savage Model," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 16(2), pages 197-204, January.
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