NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Does Aggregated Returns Disclosure Increase Portfolio Risk-Taking?

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

NBER Working Paper No. 16868
Issued in March 2011, Revised in February 2015
NBER Program(s):AG, AP

Many previous experiments have found that participants invest more in risky assets if they (i) see their returns less frequently, (ii) see portfolio-level returns (rather than individual asset-by-asset returns), or (iii) see long-horizon (rather than one-year) historical asset class return distributions. In contrast, we find that such information aggregation treatments do not increase equity allocations in an experiment where—unlike previous experiments—participants invest in real mutual funds over the course of one year. In a follow-up experiment, we start with the classic Gneezy and Potters (1997) experimental design and modify it step-by-step to move closer to the design of our first experiment. Using this identification strategy, we show that previously documented aggregation effects are not robust to (i) changes in the distribution of the risky asset’s returns and (ii) the introduction of a multi-day delay between the initial portfolio choice and the realization of returns.

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Document Object Identifier (DOI): 10.3386/w16868

Published: John Beshears & James J. Choi & David Laibson & Brigitte C. Madrian, 2017. "Does Aggregated Returns Disclosure Increase Portfolio Risk Taking?," Review of Financial Studies, Society for Financial Studies, vol. 30(6), pages 1971-2005. citation courtesy of

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