Does Aggregated Returns Disclosure Increase Portfolio Risk-Taking? / John Beshears, James J. Choi, David Laibson, Brigitte C. Madrian.

Format:

Book

Author/Creator:

Beshears, John.

Contributor:

National Bureau of Economic Research.

Choi, James J.

Laibson, David.

Madrian, Brigitte C.

Series:

Working Paper Series (National Bureau of Economic Research) no. w16868.

NBER working paper series no. w16868

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2011.

Summary:

Many previous experiments have found that participants invest more in risky assets if they (i) see their returns less frequently, (ii) see portfolio-level returns (rather than individual asset-by-asset returns), or (iii) see long-horizon (rather than one-year) historical asset class return distributions. In contrast, we find that such information aggregation treatments do not increase equity allocations in an experiment where--unlike previous experiments--participants invest in real mutual funds over the course of one year. In a follow-up experiment, we start with the classic Gneezy and Potters (1997) experimental design and modify it step-by-step to move closer to the design of our first experiment. Using this identification strategy, we show that previously documented aggregation effects are not robust to (i) changes in the distribution of the risky asset's returns and (ii) the introduction of a multi-day delay between the initial portfolio choice and the realization of returns.

Notes:

Print version record

March 2011.