Abstract
Experimental studies so far have shown that narrowly framed investors decrease the asset allocation to risky assets. These results are consistent not only with myopic loss aversion (MLA), but also with classical finance theory if we assume that the risk aversion of subjects changes when they get information in a different manner. In this paper, controlling the subjects' risk preference, we still find that, with explicit downside risk information, investors allocate less to the risky asset at a statistically significant level. These investors follow a strategy other than maximizing the expected standard utility, a result that is consistent with MLA.
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