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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Abstract

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
Subjects:
ID Code:
48741
Deposited By:
Deposited On:
11 Jul 2011 21:09
Refereed?:
No
Published?:
Published
Last Modified:
25 Oct 2020 00:12