Loss aversion around the world: Empirical evidence from pension funds



Xie, Yuxin, Hwang, Soosung and Pantelous, Athanasios A ORCID: 0000-0001-5738-1471
(2018) Loss aversion around the world: Empirical evidence from pension funds. JOURNAL OF BANKING & FINANCE, 88. pp. 52-62.

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Abstract

We propose a novel method to estimate loss aversion together with risk aversion and subjective probability weighting in a reference-dependent utility. Using multiple asset allocations in the 31 OECD pension funds, we find that our estimates of loss aversion and subjective probability weights are similar to those reported by Wang et al. (2017) and Rieger et al. (2011), respectively, despite the differences in the estimation methods. However, loss aversion increases with wealth and only Hofstede's Individualism is positively related to loss aversion. Countries with high individualism or masculinity prefer high risk and high return assets to bonds, whereas countries that dislike uncertainty prefer bonds to risky assets.

Item Type: Article
Uncontrolled Keywords: Loss aversion, Cultural dimensions, Reference-dependent utility, Pension funds
Depositing User: Symplectic Admin
Date Deposited: 22 Feb 2019 11:21
Last Modified: 19 Jan 2023 01:02
DOI: 10.1016/j.jbankfin.2017.11.007
Related URLs:
URI: https://livrepository.liverpool.ac.uk/id/eprint/3033260