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- W3045444093 abstract "We adopt a novel empirical approach to show that the risk attitudes of professional investors are affected by their catastrophic experiences – even for catastrophes with no economic impact on these investors or their portfolio firms. We study the portfolio risk of U.S.-based mutual funds that invest outside the U.S. before and after fund managers personally experience severe natural disasters. Using differences-in-differences, we compare managers in disaster versus non-disaster counties matched on prior disaster probability and fund characteristics. We find that monthly fund return volatility decreases by roughly 60 bps in year 1 and the effect disappears by year 3. Systematic risk drives the results. Additional analyses rule out wealth effects (using disasters with no damages) and managerial agency, skill, and catering explanations." @default.
- W3045444093 created "2020-07-29" @default.
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- W3045444093 date "2017-01-01" @default.
- W3045444093 modified "2023-10-05" @default.
- W3045444093 title "Are the Risk Attitudes of Professional Investors Affected by Personal Catastrophic Experiences?" @default.
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- W3045444093 doi "https://doi.org/10.2139/ssrn.3024983" @default.
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