David Romer says no:
…the behavior of National Football League teams on fourth downs departs from the behavior that would maximize their chances of winning in a way that is highly systematic, clear-cut, and statistically significant. This is true even though the decisions are comparatively simple, the possibilities for learning and imitation are unusually large, the compensation for the coaches who make the decisions is extremely high, and the market for their services is intensely competitive…The departures from win maximization are toward "conservative" behavior…
In other words, too many punts and field goal attempts. But why?
…the natural possibility is that the actors care not just about winning and losing, but about the probability of winning during the game, and that they are risk-averse over this probability. That is, they may value decreases in the chances of winning from failed gambles and increases from successful gambles asymmetrically.
If you take a gamble and it fails, and you have lost for good, it hurts so so bad. Coaches value "being in the game until the end" for its own sake. They are unwilling to give up all sources of hope, even when the associated gamble would maximize their returns.
What does this say about how we run our lives?
That is from the just-arrived April 2006 Journal of Political Economy (I’m sorry Alex, but the JPE is better and more interesting than the QJE, all things considered). Here is an earlier version of the paper. Here is my earlier post on the NFL draft.