Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios

摘要

We estimate risk aversion from the actual financial decisions of 2,168 investors in Lending Club (LC), a person-to-person lending platform. We obtain risk preference parameters of similar magnitude and heterogeneity across investors than those in experimental studies. Using house prices as an indicator of investor wealth, we find that investors' willingness to take risk in LC is affected by their outside wealth: wealthier investors are more risk averse, but any given investor becomes more risk averse after a negative wealth shock. These wealth elasticities consistently extrapolate to other investor decisions.