This paper finds that fund managers do not expect mean reverting returns, as suggested by theory and empirical evidence, but mean averting returns. The degree of mean aversion is positively related to preferences for non-fundamental information and loss aversion.

Two agents endowed with different individual conceptual spaces are engaged in a dialectic process to reach a common understanding. We model the process as a simple non-cooperative game and demonstrate three results. When the initial disagreement is focused, the bargaining process has a zero-sum...

Two agents endowed with different individual conceptual spaces are engaged in a dialectic process to reach a common understanding. We model the process as a simple noncooperative game and demonstrate three results. When the initial disagreement is focused, the bargaining process has a zero-sum...

In this paper, I show how the presence of long-term investors using different return forecasting models and switching these models based on their past performance generates the price trends observed in the nancial markets. I develop an asset pricing model in which agents have long horizon...

We study the presence of long term investors using different return forecasting strategies and switching them based on their past performance generates the price trends observed in financial markets. In the empirical section, we assume that investors choose how to allocate their portfoilios...

This paper analyzes how asset prices in a binary market react to information when traders have heterogeneous prior beliefs. We show that the competitive equilibrium price underreacts to information when there is a bound to the amount of money traders are allowed to invest. Underreaction is more...

This paper develops a multiple-goal investment strategy for sovereign wealth funds. In our investment strategy, we embed the Black-Litterman (B-L) model into the mean variance mental accounting (MVMA) approach. The B-L method provides a means of modeling return expectations, and the MVMA...

Significance of behavioral finance has been realized. Intrinsic value of behavioral finance is to investigate the irrational attitude of investor while making investment decision. This study explores the investor based psychological decision making model for enhancing the understanding about the...

The paper analyzes a finite time economy with a single risky asset which pays a one-shot payoff (dividend). The payoff is random and its distribution is not known agrave; priori. Agents observe public signals (random draws from the same distribution) and update their beliefs about the payoff....

This study examines various determinants of idiosyncratic risk from the perspective of un-diversified REIT investors, managers holding options, other option holders, and arbitrageurs. Since real estate investment trusts (REITs) enjoy a unique organizational structure and tax status, the relevant...