Bernile, Gennaro (帅纳)
[VerfasserIn]
;
Bhagwat, Vineet
[Sonstige Person, Familie und Körperschaft];
Kecskes, Ambrus
[Sonstige Person, Familie und Körperschaft];
Nguyen, Phuong-Anh
[Sonstige Person, Familie und Körperschaft]
Are the Risk Attitudes of Professional Investors Affected by Personal Catastrophic Experiences?
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 23, 2018 erstellt
Beschreibung:
We adopt a novel empirical approach to show that the risk attitudes of professional investors are affected by their catastrophic experiences – even for catastrophes with no economic impact on these investors or their portfolio firms. We study the portfolio risk of U.S.-based mutual funds that invest outside the U.S. before and after fund managers personally experience severe natural disasters. Using differences-in-differences, we compare managers in disaster versus non-disaster counties matched on prior disaster probability and fund characteristics. We find that monthly fund return volatility decreases by roughly 60 bps in year 1 and the effect disappears by year 3. Systematic risk drives the results. Additional analyses rule out wealth effects (using disasters with no damages) and managerial agency, skill, and catering explanations