What Makes an Investment Risky? An Analysis of Price Path Characteristics

Charlotte Borsboom, Stefan Zeisberger
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引用次数: 20

Abstract

Abstract We examine the influence of financial asset historical price path characteristics on investors’ risk perception, return beliefs and investment propensity. To that end, we run a series of survey experiments in which we present various price patterns to individuals with vested interest in financial matters. Our findings reveal that price paths with identical daily and monthly returns (and consequently identical return standard deviation) can lead to substantially different risk perception by investors, indicating that historical volatility is insufficient to explain risk perception. Salient features such as highs, lows and crashes are the most influential drivers of perceived risk in price paths. Return forecasts are primarily driven by past overall returns and the most recent price developments. Perceived risk and return beliefs strongly predict investment propensity.
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什么使投资有风险?价格路径特征分析
摘要本文研究了金融资产历史价格路径特征对投资者风险感知、收益信念和投资倾向的影响。为此,我们进行了一系列的调查实验,在这些实验中,我们向对金融事务有既得利益的个人展示了各种价格模式。我们的研究结果表明,具有相同日收益和月收益的价格路径(以及因此相同的收益标准差)可能导致投资者的风险感知存在显著差异,这表明历史波动率不足以解释风险感知。高点、低点和崩盘等显著特征是价格路径中感知风险的最具影响力的驱动因素。回报预测主要是由过去的总体回报和最近的价格走势驱动的。感知风险和回报信念对投资倾向有很强的预测作用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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