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The effect of investment and withdrawal horizons on myopic loss aversion

Guillemette, Michael; Blanchett, David; Finke, Michael - In: Applied economics letters 26 (2019) 10, pp. 787-790

Persistent link: https://www.econbiz.de/10012204387

Myopic loss aversion, the equity premium puzzle, and GARCH

Ågren, Martin (contributor); Post, Erik (contributor) - 2005

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Risk preferences, investor sentiment and lottery stocks : a stochastic dominance approach

Fong, Wai-mun - In: The journal of behavioral finance : a publication of … 14 (2013) 1, pp. 42-52

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Ambiguity, long-run risks, and asset prices in continuous time

Ruan, Xinfeng - In: International review of economics & finance : IREF 71 (2021), pp. 115-126

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Ambiguity, Long-Run Risks, and Asset Prices

Wei, Bin - 2019

We generalize the long-run risks (LRR) model in Bansal and Yaron (2004) by incorporating the recursive smooth ambiguity aversion preferences of Klibanoff, Marinacci, and Mukerji (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model remains...

Persistent link: https://www.econbiz.de/10012896734