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--> Contact Us Sitemap Access 日本語 ENGLISH About RIEB Message Outline History Former Directors Organization Staff Accounts Internatinal Exchange Faculty Global Economy Unit Corporate Competitiveness Unit Corporate Information Unit Global Finance Unit Integrated Center for Corporate Archives Center for the Promotion of Regional Co-Creation Research Office of Promoting Research Collaboration Visiting and Adjunct Researcher Faculty Awards (in Japanese) Research Fellow Emeritus Professor Research Research Projects Publications Integrates Center for Corporate Archives Early Moden DataBase Seminars at RIEB Seminar Schedule All Seminars RIEB & Kanematsu Seminars Latin America Seminars Monetary Economics Seminar of Kobe University (in Japanese) Kanebo Seminar of Kobe University (in Japanese) Past Seminars Education & Society Symposia Social Contribution & Education Kanematsu Prize Sections Integrated Center for Corporate Archives Center for the Promotion of Regional Co-Creation Research United Nations Depository Library RIEB Library Computer Laboratory Local Page--> HOME Research Publications Discussion Paper Series（English） RIEB Discussion Paper Series No.2020-33 RIEB Discussion Paper Series No.2020-33 RIEB Discussion Paper Series No.2020-33 Title Time-Varying Risk Attitude and Behavioral Asset Pricing Abstract We propose a new behavioral asset pricing model that can flexibly express the time-variability or state-dependence of aggregate risk attitude. We suppose that individual preferences are heterogeneous, and each preference changes depending on the state of the economy. While most previous studies, including Chan and Kogan (2002) which is the basis of our model, imply that aggregate risk aversion is counter-cyclical by assuming either heterogeneity or changeability of preferences, considering both of these can result in aggregate risk aversion being procyclical in a particular economic situation. The status quo hypothesis we propose suggests that the aggregate risk attitude is procyclical during recessions and counter-cyclical during booms and depressions. This stems from the fact that in our setting only risk-tolerant individuals face losses large enough to be loss-averse in order to maintain the status quo. We analyze the weekly returns of 10 major stock markets, including Canada, China, Eurozone, France, Germany, Hong Kong, India, Japan, the UK and the US, and provide some evidences to support our status quo hypothesis in Western stock markets, where stock markets are relatively mature. We conclude that it is essential at least in such matured stock markets to allow both heterogeneity and changeability of preferences in order to obtain an accurate aggregate risk attitude. Keywords Risk attitude; Heterogeneous preferences; Status quo; Loss-aversion; Prospect theory JEL Classification G12, G15, G40 Inquiries Shoka HAYAKI Junior Research Fellow, Research Institute for Economics and Business Administration, Kobe University Graduate School of Business Administration, Kobe University Site Top About RIEB Faculty Research Seminars at RIEB Education & Society Sections Site Policy Sitemap Access Contact Information © Research Institute for Economics and Business Administration, Kobe University. All Rights Reserved. Contact Us Site Policy (in Japanese) Sitemap Access 日本語 ENGLISH