Document de travail

From Aggregate Betting Data to Individual Risk Preferences

Pierre-André Chiappori, Amit Gandhi, Bernard Salanié et François Salanié

Résumé

As a textbook model of contingent markets, horse races are an attractive environment to study the attitudes towards risk of bettors. We innovate on the literature by explicitly considering heterogeneous bettors and allowing for very general risk preferences, including non-expected utility. We build on a standard single-crossing condition on preferences to derive testable implications; and we show how parimutuel data allow us to uniquely identify the distribution of preferences among the population of bettors. We then estimate the model on data from US races. Within the expected utility class, the most usual specifications (CARA and CRRA) fit the data very badly. Our results show evidence for both heterogeneity and nonlinear probability weighting.

Remplacé par

Pierre-André Chiappori, Bernard Salanié, François Salanié et Amit Gandhi, « From Aggregate Betting Data to Individual Risk Preferences », Econometrica, vol. 87, n° 1, janvier 2019, p. 1–36.

Référence

Pierre-André Chiappori, Amit Gandhi, Bernard Salanié et François Salanié, « From Aggregate Betting Data to Individual Risk Preferences », TSE Working Paper, n° 13-453, octobre 2012.

Voir aussi

Publié dans

TSE Working Paper, n° 13-453, octobre 2012