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Risk Attitude and Market Behavior: Evidence from Experimental Asset Markets

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  • Gerlinde Fellner
  • Boris Maciejovsky

Abstract

In this paperwe relate individual risk attitude as elicited by binary lotteries and certainty equivalents to market behavior. By analyzing 26 independent markets with a total of 280 participants we show that binary lottery choices and certainty equivalents are pootly correlated. Only lottery choices are related to market behavior: the higher the degree of risk aversion the lower the observed market activity. Females are more risk averse than males according to binary lotteries, submit fewer offers and engage less often in trades.

Suggested Citation

  • Gerlinde Fellner & Boris Maciejovsky, "undated". "Risk Attitude and Market Behavior: Evidence from Experimental Asset Markets," Papers on Strategic Interaction 2002-34, Max Planck Institute of Economics, Strategic Interaction Group.
    • Handle: RePEc:esi:discus:2002-34
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    More about this item

    Keywords

    Individual risk attitude; Gender differences; Binary lottery choices; Certainty equivalents; Experimental economics;
    All these keywords.

    JEL classification:

    • C91 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Individual Behavior
    • C92 - Mathematical and Quantitative Methods - - Design of Experiments - - - Laboratory, Group Behavior
    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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