Tools
Tools
Chiappori, Pierre-André
, Salanié, Bernard, Salanié, François and Gandhi, Amit
(2019)
From Aggregate Betting Data to Individual Risk Preferences.
Econometrica, vol. 87 (n° 1).
pp. 1-36.
This is the latest version of this item.
Preview |
Text
Download (905kB) | Preview |
Abstract
We show that even in the absence of data on individual decisions, the distribution of individual attitudes towards risk can be identified from the aggregate conditions that characterize equilibrium on markets for risky assets. Taking parimutuel horse races as a textbook model of contingent markets, we allow for heterogeneous bettors with very general risk preferences, including non-expected utility. Under a standard singlecrossing condition on preferences, we identify the distribution of preferences among the population of bettors and we derive testable implications. We estimate the model on data from US races. Specifications based on expected utility fit the data very poorly. Our results stress the crucial importance of nonlinear probability weighting. They also suggest that several dimensions of heterogeneity may be at work.
| Item Type: | Article |
|---|---|
| Language: | English |
| Date: | January 2019 |
| Refereed: | Yes |
| Uncontrolled Keywords: | Identification, revealed preferences, attitudes towards risk |
| JEL Classification: | C5 - Econometric Modeling D8 - Information, Knowledge, and Uncertainty |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 07 Nov 2018 08:57 |
| Last Modified: | 23 Aug 2021 13:38 |
| OAI Identifier: | oai:tse-fr.eu:33050 |
| URI: | https://publications.ut-capitole.fr/id/eprint/26382 |
Available Versions of this Item
-
From Aggregate Betting Data to Individual Risk Preferences. (deposited 09 Jul 2014 17:40)
- From Aggregate Betting Data to Individual Risk Preferences. (deposited 07 Nov 2018 08:57) [Currently Displayed]
