期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2008
卷号：2008
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：The empirical finding that entrepreneurs tend to invest a large share of their
wealth in their own firms despite comparably low returns and high risk has
become known as the private equity premium puzzle. This paper provides evidence
supporting the hypothesis that lower risk aversion of entrepreneurs, and not
necessarily credit constraints, may explain this puzzle. The analysis is based
on a large, representative panel data set for Germany, which provides
information on asset portfolios and experimentally validated risk attitudes. The
results show that both the ownership probability and the conditional portfolio
share of private business equity significantly increase with higher risk
tolerance.
