We adopt a novel empirical approach to show that the risk attitudes of professional investors are affected by their catastrophic experiences – even for catastrophes with no economic impact on these investors or their portfolio firms. We study the portfolio risk of U.S.-based mutual funds that invest outside the U.S. before and after fund managers personally experience severe natural disasters. Using differences-in-differences, we compare managers in disaster versus non-disaster counties matched on prior disaster probability and fund characteristics. We find that monthly fund return volatility decreases by roughly 60 bps in year 1 and the effect disappears by year 3. Systematic risk drives the results. Additional analyses rule out wealth effects (using disasters with no damages) and managerial agency, skill, and catering explanations.

中文翻译：

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专业投资者的风险态度是否受到个人灾难性经历的影响？

我们采用了一种新颖的实证方法来表明专业投资者的风险态度受到他们灾难性经历的影响——即使是对这些投资者或其投资组合公司没有经济影响的灾难。我们研究了在基金经理亲身经历严重自然灾害前后在美国境外投资的美国共同基金的投资组合风险。使用差异中的差异，我们比较了在先验灾害概率和基金特征上匹配的灾害县与非灾害县的管理人员。我们发现，每月基金回报波动率在第 1 年下降了大约 60 个基点，而这种影响在第 3 年消失。系统性风险推动了结果。额外的分析排除了财富效应（使用没有损失的灾难）和管理机构、技能和餐饮方面的解释。