Prof. Will Goetzmann from Yale University is giving a VGSF research seminar on "Risk Aversion and Clientele Effects" on TUESDAY, October 31st, from 15:30 to 17:00 at the WU Wien (Room H.DE03, UZA 4, Base Floor, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below.

Prof. Goetzmann is going to be in Vienna on Monday and Tuesday. If you like to meet him and to discuss your research with him, please contact Michael Halling (michael.halling@univie.ac.at).

Best, Michael Halling

Abstract We estimate preferences toward risk of investors in growth and value stock indices, which represent two widely followed investment styles. We find differences in risk preferences for the two clienteles. Value investors are more averse to risk, while growth investors are more willing to accept risk. Estimated preferences also exhibit different time series patterns. Risk preferences of value investors show stronger persistence in the time series during our time period. This is consistent with investors in value stocks being a more stable clientele. We find evidence that indicates the presence of switchers-investors who move funds between the two styles. Switchers react to returns on the styles, and also react to changes in risk of the styles. Further, we construct trading strategies in the value growth index options markets and find that the strategies generate positive returns. Overall, the evidence is consistent with the hypothesis that different clienteles, characterized by differences in risk preferences and trading habits, exist. Further, trading strategies can be formed to exploit the existence of clienteles.