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Does risk sorting explain overpricing in experimental asset markets? – Publication by Hubert János Kiss and Balázs Róbert Sziklai

2022-09-02 14:10:17

The article co-authored by Hubert János Kiss and Balázs Sziklai was published in the Journal of Behavioral and Experimental Economics.

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Kapcsolódó események

Corvinus Épület

Sorting according to the gender or cognitive abilities of the traders has been investigated as a potential source of overpricing in asset markets. Here we study if sorting according to risk attitudes matters, motivated by the fact that filtering out risk-averse investors is practiced widely in Europe and is in line with the Markets in Financial Instruments Directive (MiFID) of the EU. 

Despite the central role of risk attitude in the literature, our study is the first that sorts participants into markets by risk tolerance and tests its effect on overpricing. We show that risk sorting can explain overpricing only partially: Markets with the most risk-tolerant traders exhibit larger overpricing than markets with the most risk-averse traders. In our study, risk aversion does not correlate with gender or cognitive abilities, bringing in an additional factor to understand overpricing. 

Kiss Hubert János hubertjanos.kiss@uni-corvinus.hu Közgazdaságtan Intézet
Egyetemi Docens / Associate Professor
E épület, 225
Phone: +36 1 482 5107 • Ext: 5107
Dr. Sziklai Balázs Róbert balazs.sziklai@uni-corvinus.hu Rektori Szervezet / Operáció és Döntés Intézet / Operációkutatás és Aktuáriustudományok Tanszék
Egyetemi Docens / Associate Professor
E épület, 120/a
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GEN.:2024.05.18. - 15:54:25