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Individual preferences, monetary gambles and the equity premium

Author: Nicholas Barberis; Richard H Thaler; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2003.
Series: Working paper series (National Bureau of Economic Research), no. 9997.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: We argue that narrow framing, whereby an agent who is offered a new gamble evaluates that gamble in isolation, separately from other risks she already faces, may be a more important feature of decision-making under risk than previously realized. To demonstrate this, we present evidence on typical attitudes to independent monetary gambles with both large and small stakes and show that across a wide range of  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Nicholas Barberis; Richard H Thaler; National Bureau of Economic Research.
OCLC Number: 53907576
Notes: "September 2003."
Description: 1 online resource (48 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 9997.
Responsibility: Nicholas Barberis, Ming Huang, Richard Thaler.

Abstract:

Abstract: We argue that narrow framing, whereby an agent who is offered a new gamble evaluates that gamble in isolation, separately from other risks she already faces, may be a more important feature of decision-making under risk than previously realized. To demonstrate this, we present evidence on typical attitudes to independent monetary gambles with both large and small stakes and show that across a wide range of utility functions, including all expected utility and many non-expected utility specifications, the only ones that can easily capture these attitudes are precisely those exhibiting narrow framing. Our analysis also makes predictions about the kinds of preferences that might be able to address the stock market participation and equity premium puzzles. We illustrate these predictions in simple portfolio choice and equilibrium settings.

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