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(a)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.