Cautiousness and tendency to buy options

Huang, J (2004) Cautiousness and tendency to buy options. Working Paper. The Department of Accounting and Finance, Lancaster University.

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As is well known, Arrow-Pratt measure of risk aversion explains investors’ behavior in stock markets while Kimball’s measure of prudence explains investors’ behavior when they make precautionary savings. What is missing is a measure of investors’ tendency to buy options. In this paper we show that cautiousness, which is equivalent to the ratio of prudence to risk aversion, is the measure. We also discuss some properties of this measure.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: /dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 48741
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 21:09
Refereed?: No
Published?: Published
Last Modified: 23 Jun 2019 23:46

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