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...

Major stock indexes are developed on the market capitalization or price weighted indexation method. The Australian Stock Exchange 50 (ASX50) index is a market capitalization index of the top 50 Australian stocks. Fundamental indexation, equal weighted index and risk weighted index methods have...

We combine self-collected historical data from 1867 to 1907 with CRSP data from 1926 to 2012, to examine the risk and return over the past 140 years of one of the most popular mechanical trading strategies — momentum. We find that momentum has earned abnormally high risk-adjusted returns — a...

We examine time discounting factors in an international survey. Our analysis reveals a significant relationship between time discount factors and historical equity premiums across 27 countries. This result implies that higher historical equity risk premiums are observed in countries where survey...

Behavioral finance studies the application of psychology to finance, with a focus on individual-level cognitive biases. I describe here the sources of judgment and decision biases, how they affect trading and market prices, the role of arbitrage and flows of wealth between more rational and less...

This paper analyzes the relationship between individuals' locus of control and their savings behavior, i.e. wealth accumulation, savings rates, and portfolio choices. Locus of control is a psychological concept that captures individuals' beliefs about the controllability of life events and is a...

It is known in the literature that affective reactions and subjective factors influence the evaluation of risk. The goal of our work is to assess to what extent recent regulation change in the description of risk, the Synthetic Risk Indicator (ISR) in the "Key Investor Information Document"...

This paper represents an intersection between two lines of research. The first is portfolio choice theory, which underlies much of finance; the second is the elicitation of preferences under uncertainty. The theory of the behaviour of financial markets builds heavily on portfolio choice theory;...

This paper uses the cross-sectional variance of the betas from the CAPM model to study herd behavior towards market index in Romania. For time-varying beta determination, three different modeling techniques are employed: two bivariate GARCH models (DCC and FIDCC GARCH), two Kalman filter based...

In this paper, the impact of divorce ­­­on individual financial behavior is empirically examined. Evidence that divorcing individuals increase their saving rates before the divorce is presented. This may be seen as a response of the increase in background risk. After the divorce, negative...