Préférence de Risque pour l'Investissement Financier des Cadres : une Question d'Incitations Financières ?

Financial Investment Risk Preferences of Executives : a Matter of Incentivization?

• Auteur / Autrice : Luc Meunier
• Direction : Jean-François Gajewski, François Desmoulin-lebeault
• Type : Projet de thèse
• Discipline(s) : Sciences de Gestion
• Etablissement(s) : Université Grenoble Alpes (ComUE)
• Ecole(s) doctorale(s) : École doctorale sciences et ingénierie des systèmes, de l'environnement et des organisations (Chambéry ; 2007-2021)
• Partenaire(s) de recherche : Laboratoire : Institut de Recherche en Gestion et Économie

Mots clés

Mots clés libres

Agence

Risque

Contrat d'Incitation

Finance Comportementale

Neurofinance

Agency

Risk

Incentive Contract

Behavioral Finance

Neurofinance

Résumé

Thèse par chapitre/papier. Introduction incluant un revue de la litérature en Neurofinance, publié dans le journal Finance (rang 2 CNRS). Premier papier sur les préférences pour le risque chez les investisseurs en situation d'agence ou non (présenté à plusieurs conférences, publié dans le journal Decision Analysis, rang 3 CNRS). Deuxième papier sur les biais créé par les moments d'ordre supérieurs dans les lotteries pour l'aversion au risque (papier soumis au Journal of Behavioral and Experimental Economics). Troisième papier traitant du lien entre préférence vis-à-vis du risque et personnalité (publié dans Economics Bulletin, rang 3 CNRS) Quatrième papier: étude qualitative sur les déterminants de la prise de décision des CEOs. Cinquième papier sur l'impact des caractéristiques - personnalité et caractéristiques physiologiques - des managers et dirigeants sur leur prise de risque. Voir projet en anglais pour plus de détails.

The percentage of stocks traded by institutional investors worldwide has escalated to 90% in the 2000. We can thus no longer consider that stocks are traded only by individual investors, as it was the case in the 50’s when individual investors held 90% of the stocks. Meanwhile, the 2007 financial crisis has drawn an increased amount of attention on the behaviour of people acting as agents in the financial industry. The agents’ lack of responsibility was indeed pointed as one of the factor behind the crisis. In this context, the principal agent dilemma represents a very hot topic of research in finance. We thus test in this thesis if the risk preferences of investors investing as principals are different from the one of investors acting as agents. In this thesis, we take a behavioral/neurofinance approach of the issue. As highlighted in the introduction through a literature review of neurofinance, these fields holds much promises in terms of explaining the human behavior. In a first study, we carry out a questionnaire over a sample of 715 business school students, testing for investment preferences when investing for self and for a firm over the first four moments of the distribution of returns. We find evidence of standard deviation aversion, skewness seeking and kurtosis seeking when investing for self. The overall kurtosis seeking of our sample as a whole is mainly driven by standard deviation lovers, skewness seekers and males. When investing for a firm, we do not see more risk-taking but rather a shift toward neutrality of preferences for standard deviation and kurtosis, which is congruent with the risk-as-feelings hypothesis. Our study also underlines the impact of financial expertise in the reduction of risk-taking, both when investing for self and for the firm. (This paper received a review and resubmit from Decision Analysis, CNRS rank 3) In a second study, we underline in a methodological and technical note how binary loteries can be used to measure both risk aversion and prudence. In a third study, we carried out an incentivized experiment over 333 business school students to explore the link between personality measured through the MBTI and risk aversion. We find that according to our theoretical hypotheses, respondents scoring higher on Introversion, Sensing, Feeling and Judging are more risk averse. We also find women, master students, respondents coming from a quantitative background and respondents that do not follow the stock markets to be more risk averse. The relations highlighted between the MBTI dimensions and risk aversion corresponds broadly to the findings already evidenced using Big 5 type of measures in study using questionnaires or lotteries. This emphasises the significant overlap existing between the two personality evaluation methods in relation to risk aversion. Our findings also underscore that the MBTI might be a useful tool in studies on risk aversion using lotteries, given the significant link of its dimensions with the elicited risk aversion in our study. (This paper is under review by Economics Bulletin, CNRS rank 3). In a fourth study, we confirm through a qualitative research on CEOs that, contrary to the classic assumptions, contract does not appear as a strong explanatory factor of executive risk-taking. In a fifth study, we explore the relative impact of personnality and contract on the risk taking of managers and CEO. To do so we also use experimental methods from the Neuroscience field. We underline that personnality and physiological variables have more statistical and conomical explanatory power than the form of the contract, in complete contradiction with classic theory.