Alain Cohn|Jan Engelmann|Ernst Fehr|Michel André Maréchal
Evidence for Countercyclical Risk Aversion: An Experiment with Financial Professionals
University of Zurich|University of Zurich|University of Zurich|University of Zurich
countercyclical risk aversion explain major puzzles high volatility asset prices evidence existence however scarce host factors simultaneously change financial cycles circumvent problems priming financial professionals either boom bust scenario subjects primed financial bust substantially fearful risk averse primed boom suggesting fear may play important role countercyclical risk aversion mechanism described relevant theory may explain selfreinforcing processes amplify market dynamics jel e32 e44 g01 g11 g12