We study multi-period equilibrium asset pricing in an economy with Epstein-Zin (EZ-) agents whose preferences for consumption are represented by recursive utility and with loss averse (LA-) agents who derive additional utility of gains and losses and are averse to losses. We propose an...

I exploit a natural experiment to show that household investment decisions depend on the manner in which information is displayed. Israeli retirement funds were prohibited from displaying returns for periods shorter than twelve months. In this setting, the information displayed was altered but...

Narrow bracketing in combination with loss aversion has been shown to reduce individual risk-taking. This is known as myopic loss aversion (MLA) and has been corroborated by many studies. Recent evidence has contested this notion indicating that MLA's applicability is confined to highly...

A common criticism of behavioral economics is that it has not shown that the psychological biases of individual investors lead to aggregate long-run effects on both asset prices and macroeconomic quantities. Our objective is to address this criticism by providing a simple example of a production...

Financial disclosures such as earnings calls help investors allocate their resources efficiently by providing them with essential information about the underlying assets. Especially in forward-looking statements, such disclosures may contain large shares of uncertain words, for example, "we...

This online appendix extends the empirical analysis in the main paper, and provides diagnostic tests, robustness checks and additional regression results.The paper "Estimating Sentiment, Risk Aversion, and Time Preference from Behavioral Pricing Kernel Theory" to which these Appendices apply is...

This paper focuses on determining the factors influencing investors' risk-taking through empirical evidence from Vietnam. This study investigates risk perception, expected return and herding behavior, and other determinants such as historical volatility and subjective financial risk attitude;...

This paper investigates how the combination of preferences and biases impact the risk-value profile of acquiring firms. We find strong evidence that prior losses impact acquisition risk as firms with negative prior returns are more prone to become acquirers and make value destructive...

An efficient market should not show any anomalies. When new information reaches a market which is efficient, it should automatically translate into prices of assets, which ought to eliminate the possibility of gaining an advantage over other investors, thus preventing excess profits. However,...