Amonlirdviman, Kevin; Carvalho, Carlos - In: Journal of International Money and Finance 29 (2010) 7, pp. 1303-1320
Loss aversion has been used to explain why a high equity premium might be consistent with plausible levels of risk aversion. The intuition is that the first-order-different utility impact of wealth gains and losses leads loss-averse investors to behave similarly to investors with high risk...