Pasquariello, Paolo - 2008
better-informed speculators displays preferences consistent with Kahneman and Tversky’s (1979) Prospect Theory, i.e., loss …, 2000). Loss aversion induces those speculators to trade more cautiously, while risk seeking induces them to trade more … lower and (because of procyclical subjective loss probabilities)countercyclical adverse selection-based market liquidity and …