This experimental study investigates the impact of affective attitudes on risk and return estimates of stocks. Participants rate well-known blue-chip firms on an affective scale and forecast risk and return of the firms' stock. We find that positive affective attitudes lead to a prediction of...

We document a novel and striking annual cycle in the U.S. Treasury market, with a variation in mean monthly returns of over 80 basis points from peak to trough. We show that this seasonal Treasury return pattern does not arise due to macroeconomic seasonalities, seasonal variation in risk, the...

Though risk attitude is central to economics and finance, relatively little is known about how it is formed and how it changes over time. Based on US data from a dedicated psycho-social module on lifestyle of the 2010 Health and Retirement Study (HRS), we provide new evidence on the correlation...

Previous researches have demonstrated that consumer decisions could be affected by some biases in the supplementary pension field. Decisionmaking is very often not guided by rationality, and in many cases, if forced to choose, people will decide not to decide, passively accepting the decisions...

Based on a continuous-time model of quasi-hyperbolic discounting, this paper provides an analytically tractable framework of entrepreneurial firms’ investment and capital structure decisions with time-inconsistent preferences. We show that the impact of time-inconsistent preferences depends...

The disposition effect, i.e., the tendency to sell winning stocks too early and losing stocks too late is one of the most frequently observed and discussed biases of financial investors. We investigate in a laboratory experiment whether the option of automatic selling devices causally reduces...

This paper provides the first evidence for empirical tests of the effect of rational expectations as well as behavioral biases, including among other animal spirits such as defined by Akerlof and Shiller (2009) on the variability of trading.We have used daily data for five international capital...

The characterization of financial returns depends heavily on probabilistic behavior, which can be ill-fitted, thus leading to inappropriate economic decisions concerning asset pricing, portfolio allocation and/or the measurement of market risk. In this paper, we propose a test to determine the...

We investigate the validity of purchasing power parity of 7 Middle East countries over January 1980 to August 2008 by applying the stationary test with a nonlinear Fourier function as proposed by Becker et al. (2006). This test allows us to study the presence of unknown smooth structural breaks...