We examine the long-run impact of exposure to a traumatic event on risk attitudes. We estimate risk aversion of those who experienced the Korean War at different ages to identify a sensitive period for risk attitude formation. This major war broke out suddenly, and the impact of the war on...

We examine a simple measure of portfolio performance based on prospect theory, which captures not only risk and return but also reflects differential aversion to upside and downside risk. The measure we propose is a ratio of gains to losses, with the gains and losses weighted (if desired) to...

We study the question of which asset pricing factors should be included in linear factor asset pricing model. We develop a simple multivariate extension of a Bayesian variable selection procedure from the statistics literature to estimate posterior probabilities of asset pricing factors using...

This paper investigates the presence of momentum return when priced for common components. Using a sample period from 1926 through 2005 for all stocks listed in the NYSE, AMEX and NASDAQ we show significant momentum return remains both at the portfolio level and at the individual stock level. We...

This paper investigates the contribution of common components and stock specific components in generating momentum return. Using a decomposition approach in a multi-dimensional framework we report that momentum return resulted from all stocks listed in the NYSE, AMEX and NASDAQ from 1926 through...

In this study I show that Fama and French's (1992) conclusion that betas do not explain the cross-section of asset returns may be due to a few implementation methods used for their tests. First, I show that post-formation portfolio returns tend to be much higher than market portfolio returns,...

The role of selling (or marketing) period uncertainty in understanding risk associated with property investment is examined in this paper. Using an approach developed by Lin and Vandell [2001, 2005] and Lin [2004], combined with a statistical model of UK commercial property transactions, we show...

Using the macroeconomic data for 1830-2004 in vector error correction models, we find that the UK stock price was largely in line with the equilibrium level. However, the UK stock price shows large and slow-moving positive or negative deviations from the equilibrium, forming cycles of at least a...