Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296330 
Year of Publication: 
2023
Citation: 
[Journal:] Quantitative Economics [ISSN:] 1759-7331 [Volume:] 14 [Issue:] 2 [Year:] 2023 [Pages:] 753-798
Publisher: 
The Econometric Society, New Haven, CT
Abstract: 
We investigate how risk aversion (RA) shapes the informative content of prices in an experimental asset market, where traders are sorted according to their RA. RA should induce steeper individual demands and, under its most common parametrizations, drive equilibrium prices closer to revealing the state. Results support the prediction on individual demands, but not the prediction on prices, which do not vary with RA and are close to the risk-neutral benchmark. This purported conflict is due to traders, particularly the more risk-averse ones, conveying into prices only part of their information.
Subjects: 
Risk preferences
laboratory experiment
asset markets
information aggregation
Walrasian equilibrium
operational conservatism
JEL: 
C92
D81
G14
G41
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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