TY  - JOUR
AU  - Blackburn,Douglas W.
AU  - Goetzmann,William N.
AU  - Ukhov,Andrey D.
TI  - Risk Aversion and Clientele Effects
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 15333
PY  - 2009
Y2  - September 2009
UR  - http://www.nber.org/papers/w15333
L1  - http://www.nber.org/papers/w15333.pdf
N1  - Author contact info:
Douglas W. Blackburn
Graduate School of Business Administration
Fordham University
113 West 60th Street 6th floor
New York, NY 10023
E-Mail: blackburn@fordham.edu

William N. Goetzmann
School of Management
Yale University
Box 208200
New Haven, CT 06520-8200
Tel: 203/432-5950
Fax: 203/432-3003
E-Mail: william.goetzmann@yale.edu

Andrey Ukhov
Kelley School of Business
Indiana University
1309 East Tenth St.
Bloomington, IN 47405
E-Mail: aukhov@indiana.edu
AB  - We use traded options on growth and value indices to test for clientele differences in risk preferences. Value investors appear to have exhibited a higher average level of risk aversion than growth investors for two different time periods in the late 1990’s and early 2000’s. We construct a model of time-varying clientele preferences that allows investors with different levels of risk-aversion to switch between investment styles conditional upon the evolution of returns and risk. The model makes predictions about the autocorrelations structure of measured risk parameters and also about the autocorrelation and cross-autocorrelation of fund flows by style. Empirical tests of the model provide evidence consistent with the existence of style switchers—investors who move funds between growth and value securities. We construct trading strategies in the value and growth index options markets that effectively buy risk from one clientele and sell it to another. These strategies generated modest positive returns over the period of study.
ER  -