TY - JOUR
T1 - Risk and hedging behavior
T2 - The role and determinants of latent heterogeneity
AU - Pennings, Joost M.E.
AU - Garcia, Philip
PY - 2010/12
Y1 - 2010/12
N2 - The notion of heterogeneous behavior is well grounded in economic theory. Recently it has been shown in a hedging context that the influence of risk attitudes and risk perceptions varies for different segments using a generalized mixture regression model. Here, using recently developed individual risk attitude measurement techniques and experimental and accounting data from investors with differing decision environments, we examine the determinants of heterogeneity in hedging behavior in a concomitant mixture regression framework. Allowing for latent heterogeneity, we find that risk attitudes and risk perceptions do not influence behavior uniformly and that the heterogeneity is influenced by manager's focus on shareholder value and the firm's capital structure.
AB - The notion of heterogeneous behavior is well grounded in economic theory. Recently it has been shown in a hedging context that the influence of risk attitudes and risk perceptions varies for different segments using a generalized mixture regression model. Here, using recently developed individual risk attitude measurement techniques and experimental and accounting data from investors with differing decision environments, we examine the determinants of heterogeneity in hedging behavior in a concomitant mixture regression framework. Allowing for latent heterogeneity, we find that risk attitudes and risk perceptions do not influence behavior uniformly and that the heterogeneity is influenced by manager's focus on shareholder value and the firm's capital structure.
UR - http://www.scopus.com/inward/record.url?scp=78650652131&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=78650652131&partnerID=8YFLogxK
U2 - 10.1111/j.1475-6803.2010.01279.x
DO - 10.1111/j.1475-6803.2010.01279.x
M3 - Article
AN - SCOPUS:78650652131
SN - 0270-2592
VL - 33
SP - 373
EP - 401
JO - Journal of Financial Research
JF - Journal of Financial Research
IS - 4
ER -