We identify the S-Shaped consumption utility by reconciling consumption decisions with asset returns. Different from the concave-shaped utility, the S-shaped consumption utility predicts a possible negative correlation between low quantiles of consumption growth and asset returns, for which we...

Maximizing output without taking into consideration the negative externalities generated, including the harm to the mental and physical health of the population creates psychological stress. Focusing on the bellwether indicators of economic performance including working more, generating income,...

We administer a survey to thousands of affluent Americans about their personalities and investments. The Big Five personality traits can explain the heterogeneity among investors in their beliefs about the stock market and economy, risk preferences, and social-interaction tendencies. Two...

Maximizing output without taking into consideration the negative externalities generated, including the harm to the mental and physical health of the population creates psychological stress. Focusing on the bellwether indicators of economic performance including working more, generating income,...

Do emotional responses to the spread of an infectious disease affect the quality of economic decision-making? In the context of an episode of heightened public concern about Ebola in the US in October 2014, I document that worrying about the possibility of an epidemic can impair cognitive...

Investors' return expectations are pivotal in stock markets, but the reasoning behind these expectations remains a black box for economists. This paper sheds light on economic agents' mental models - their subjective understanding - of the stock market, drawing on surveys with the US general...

Investors' return expectations are pivotal in stock markets, but the reasoning behind these expectations remains a black box for economists. This paper sheds light on economic agents' mental models - their subjective understanding - of the stock market, drawing on surveys with the US general...

Why are stock prices much more volatile than the underlying dividends? The excess volatility of prices can in principle be attributed to two different causes: time-varying discount rates for expected future dividends, arising from variation in risk premia; or the irrational exuberance of...

This paper applies a recently developed social media-based sentiment proxy for the construction of a new risk factor for sentiment-augmented asset pricing models on U.S. equities. Accounting for endogeneity, autocorrelation and heteroskedasticity in a GMM framework, we find that the inclusion...

This paper studies the role of generalized disappointment aversion (GDA) in reconciling several asset-pricing puzzles in models of long-run risks. To fully capture the nonlinearities introduced by these preferences, we solve the model globally with projection. This allows us to scrutinize the...