Talking Risk, Taking Risk

We study the relationship between structural risk preferences, incentivised risk-taking, and self-reported risk attitude in a laboratory experiment with 286 participants. Structural preferences are estimated from incentivised lottery choices and summarised by a model-implied certainty equivalent of a benchmark lottery. Behavioural risk-taking is elicited using a switching Multiple Price List (sMPL), which identifies an interval for each subject's certainty equivalent. Participants also report their willingness to take financial and general risks on ordinal scales and provide measures of subjective well-being and self-assessed competence. We find substantial differences across alternative measures of risk. Structurally estimated preference measures are only weakly associated with incentivised behaviour, whereas behavioural risk-taking is strongly related to self-reported risk attitude. Self-reports are also systematically associated with happiness and overconfidence, while these factors do not predict incentivised behaviour. Overall, the evidence suggests that survey-based measures of risk capture dimensions that extend beyond structurally estimated preference parameters alone. Our findings contribute to the literature on the measurement and interpretation of risk preferences in experimental and behavioural economics.