We estimate risk aversion from the actual financial decisions of a sample of 2,168 U.S. investors participating in Lending Club, a person-to-person lending platform. We find a large degree of heterogeneity in the relative risk aversion (RRA) parameter, with an average of 2.85, and a median of...

Theories in which firms have heterogeneous productivities, such as those of Melitz (2003) and Chaney (2008), have been successful in capturing this empirical regularity that the average exporting firm is larger than the average nonexporter, but they fail to capture the richness of the...