Risk

"P. 550: males somewhat more risk seeking than women. Asians and Hispanics the most risk seeking, blacks and natives less, whites the least. Renarkable because intercultural studies suggest (if I remember well) that Asians are less risk seeking. Then, Asians in US ¹ Asians in Asia? Jews are most risk seeking, then Catholics, then protestants. Western US-ers are more risk seeking than others. Barsky, Robert B., F. Thomas Juster, Miles S. Kimball, & Matthew D. Shapiro (1997), “Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study,” Quarterly Journal of Economics 112, 537–579." Robert B. Barsky; F. Thomas Juster; Miles S. Kimball; Matthew D. Shapiro The Quarterly Journal of Economics, Vol. 112, No. 2, In Memory of Amos Tversky (1937-1996). (May, 1997), pp. 537-579. "There are noticeable differences in risk tolerance by the race and religion of the respondent. Whites are the least risk tolerant, blacks and Native Americans somewhat more risk tolerant, and Asians and Hispanics the most risk tolerant. [...] Risk tolerance also varies significantly by religion. Protestants are the least risk tolerant, and Jews the most. In risk tolerance Catholics are about halfway between Protestants and Jews." Asians and Hispanics and Jews are risk seeking (especially Asian)

Most Cited Publications

  • Sharpe, WF, Capital asset prices: A theory of market equilibrium under conditions of risk, Journal of Finance, 1964. [Cited by 1209]
  • Fama, EF, JD MacBeth, Risk, Return, and Equilibrium: Empirical Tests, The Journal of Political Economy, 1973. [Cited by 1025]
  • Campbell, JY and MP Page, Understanding risk and return, Journal of Political Economy, 1996. [Cited by 268]
  • Jorion, P, Value at risk: the new benchmark for controlling market risk, 1997. [Cited by 242]
  • Ferson, W, CR Harvey, The risk and predictability of international equity returns, 1991. [Cited by 232]
  • Dumas, B., B Solnik, MP Page, The World Price of Foreign Exchange Risk, NBER Working Paper, 1993. [Cited by 195]
  • Jacoby, HG, E Skoufias, Risk, financial markets, and human capital in a developing country, Review of Economic Studies, 1997. [Cited by 188]
  • Wilson, T., Portfolio Credit Risk (I), Risk, 1997. [Cited by 116]
  • De Santis, G, B Gerard, P Hillion, How big is the premium for currency risk? Journal of Financial Economics, 1998. [Cited by 114]
  • McNeil, AJ, R Frey, D Mathematik, ETH Zentrum, Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value..., Journal of Empirical Finance, 2000. [Cited by 94]
  • Hendricks, D., Evaluation of Value-at-Risk Models Using Historical Data, Federal Reserve Bank of New York Economic Policy Review, 1996. [Cited by 90]
  • Beaver, W., P Kettler, M Scholes, The association between market determined and accounting determined risk measures, The Accounting Review, 1970. [Cited by 84]
  • Brown, KC, WV Harlow, SM Tinic, Risk aversion, uncertain information, and market efficiency, Journal of Financial Economics, 1988. [Cited by 66]
  • Solnik, BH, International pricing of risk: an empirical investigation of the world capital market structure, 1973, Stanford, Calif.: Stanford University. [Cited by 64]
  • Danielsson J. and CG De Vries, Value-at-risk and extreme returns, 1997. [Cited by 64]
  • Avery, RB, TM Belton, MA Goldberg, Market discipline in regulating bank risk: new evidence from the capital markets, 1986 - Washington, DC. [Cited by 62]
  • Scruggs, JT, Intertemporal Relation between the Market Risk Premium and Conditional Market Variance: A Two-..., The Journal of Finance, 1998. [Cited by 61]
  • McNeil, AJ, R Frey, Estimation of Tail-Related Risk Measures for Heteroskedastic Financial Time Series: An Extreme Value..., Journal of Empirical Finance, 2000. [Cited by 58]
  • Christoffersen, PF, FX Diebold, MP Page, How Relevant is Volatility Forecasting for Financial Risk Management? Review of Economics and Statistics, 2000. [Cited by 58]
  • Subrahmanyam, A, Risk aversion, market liquidity, and price efficiency, Review of Financial Studies, 1991. [Cited by 57]
  • Berkowitz, J, J O'Brien, How Accurate Are Value-at-Risk Models at Commercial Banks? The Journal of Finance, 2002. [Cited by 55]
  • Bekaert, G., RJ Hodrick, DA Marshall, MP Page, The Implications of First-Order Risk Aversion for Asset Market Risk Premiums, NBER Working Paper, 1994. [Cited by 52]
  • Whitelaw, RF, Stock market risk and return: an equilibrium approach, Review of Financial Studies, 2000. [Cited by 51]
  • Glasserman, P , P Heidelberger, P Shahabuddin, Portfolio Value-at-Risk with Heavy-Tailed Risk Factors, Mathematical Finance, 2002. [Cited by 51]

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