Article | Review of Financial Studies | June 2017

Does Aggregated Returns Disclosure Increase Portfolio Risk Taking?

by John Beshears, James J. Choi, David Laibson and Brigitte C. Madrian

Abstract

Many experiments have found that participants take more investment risk if they see returns less frequently, see portfolio-level returns (rather than each individual asset’s returns), or see long-horizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment environment more realistic than in prior experiments. Previously documented aggregation effects are not robust to changes in the risky asset’s return distribution or the introduction of a multi-day delay between portfolio choice and return realizations.

Keywords: Information; Investment Portfolio; Investment Return;

Format: Print Find at Harvard Read Now

Citation:

Beshears, John, James J. Choi, David Laibson, and Brigitte C. Madrian. "Does Aggregated Returns Disclosure Increase Portfolio Risk Taking?" Review of Financial Studies 30, no. 6 (June 2017): 1971–2005.

About the Author

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John Beshears
Terrie F. and Bradley M. Bloom Associate Professor of Business Administration
Negotiation, Organizations & Markets

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