Impact of Presentation Format and Self-Reported Risk Aversion on Revealed Skewness Preferences
Published Online:22 Apr 2009https://doi.org/10.1287/deca.1090.0141
References
- Dynamic investment opportunities and the cross-section of hedge fund returns: Implications of higher-moment risks for performance. (2008) . Working paper, Georgia State University, AtlantaGoogle Scholar
- Risk and the required return on equity. J. Finance (1967) 22:19–36Crossref, Google Scholar
- Essays in the Theory of Risk-Bearing (1965) (Markham Publishing, Chicago) Google Scholar
- Stocks as lotteries: The implications of probability weighting for security prices. Amer. Econom. Rev. (2008) 98:2066–2100Crossref, Google Scholar
- Optimal portfolio choice under loss aversion. Rev. Econom. Statist. (2004) 86:973–987Crossref, Google Scholar
- Testing descriptive utility theories: Violations of stochastic dominance and cumulative independence. J. Risk Uncertainty (1998) 17:49–78Crossref, Google Scholar
- The pricing of options and corporate liabilities. J. Political Econom. (1973) 81:637–654Crossref, Google Scholar
- Expected idiosyncratic skewness. Rev. Financial Stud. (2009) . ForthcomingGoogle Scholar
- A note on skewness seeking: An experimental analysis. (2007) . Jena Economic Research Paper 79, University of Jena, Jena, GermanyGoogle Scholar
- Optimal beliefs, asset prices and the preference for skewed returns. Amer. Econom. Rev. (2007) 97:159–165Crossref, Google Scholar
- An empirical investigation of the assumptions of risk-value models. J. Risk Uncertainty (2005) 30:133–156Crossref, Google Scholar
- Down or out: Assessing the welfare costs of household investment mistakes. J. Political Econom. (2007) 115:707–747Crossref, Google Scholar
- Framing effects and risk perception: The effect of prior performance presentation format on investment fund choice. J. Econom. Psych. (2007) 28:31–52Crossref, Google Scholar
- Individual risk attitudes: Measurement, determinants, and behavioral consequences. (2008) . Working paper, Maastricht University, Maastricht, The NetherlandsGoogle Scholar
- Choosing outcomes versus choosing products: Consumer-focused retirement investment advice. J. Consumer Res. (2008) 35:440–456Crossref, Google Scholar
- Bettors love skewness, not risk, at the horse track. J. Political Econom. (1998) 106:205–225Crossref, Google Scholar
- Maximum Likelihood Estimation With Stata (2006) 3rd ed.(Stata Press, College Station, TX) Google Scholar
- Maximum likelihood estimation of utility functions using Stata. (2008) . Working paper, University of Central Florida, OrlandoGoogle Scholar
- Conditional skewness in asset pricing tests. J. Finance (2000) 55:1263–1295Crossref, Google Scholar
- Generating scenario trees for multistage decision problems. Management Sci. (2001) 47:295–307Link, Google Scholar
- A heuristic for moment-matching scenario generation. Computational Optim. Appl. (2003) 24:169–185Crossref, Google Scholar
- Graphical communication of uncertain quantities to non-technical people. Risk Anal. (1987) 7:519–529Crossref, Google Scholar
- Prospect theory: An analysis of decision under risk. Econometrica (1979) 47:263–291Crossref, Google Scholar
- The next Microsoft? Skewness, idiosyncratic volatility, and expected returns. (2006) . Working paper, University of North Carolina, Chapel HillCrossref, Google Scholar
- Skewness preference and the valuation of risk assets. J. Finance (1976) 31:1085–1100Google Scholar
- The influence of framing on risky decisions: A meta-analysis. Organ. Behav. Human Decision Processes (1998) 75:23–55Crossref, Google Scholar
- Risk and distributional inequality. J. Experiment. Psych.: Human Perception Performance (1984) 10:465–485Crossref, Google Scholar
- Between hope and fear: The psychology of risk. Adv. Experiment. Soc. Psych. (1987) 20:255–295Crossref, Google Scholar
- Portfolio selection. J. Finance (1952) 7:77–91Google Scholar
- Equilibrium underdiversification and the preference for skewness. Rev. Financial Stud. (2007) 20:1255–1288Crossref, Google Scholar
- Preference reversal. J. Econom. Surveys (2002) 16:621–655Crossref, Google Scholar
- Cognition-mediated coevolution—Context-dependent evaluations and sensitivity of pollinators to variability in nectar rewards. Plant Systematics Evolution (2003) 238:195–209Crossref, Google Scholar
- The alchemy of probability distributions: Beyond Gram-Charlier expansions, and a skew-kurtotic-normal distribution from a rank transmutation map. Proc. First IMA Conf. Computational Finance (2007) LondonGoogle Scholar
- Peak impact: Financial risk perception and the peak of the return distribution. (2006) . Working paper, Leeds University, Leeds, UKGoogle Scholar
- Judgment under uncertainty: Heuristics and biases. Science (1974) 185:1124–1130Crossref, Google Scholar
- Anomalies: Preference reversals. J. Econom. Perspectives (1990) 4:201–211Crossref, Google Scholar
- Lower partial moments as measures of perceived risk: An experimental study. J. Econom. Psych. (2000) 21:253–280Crossref, Google Scholar
- Perceived risk attitudes: Relating risk perception to risky choice. Management Sci. (1997) 43:122–143Link, Google Scholar
- Communicating asset risk. Risk Anal. (2005) 25:597–609Crossref, Google Scholar
- Cluster sample methods in applied econometrics: An extended analysis. (2006) . Working paper, Michigan State University, East LansingGoogle Scholar

