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Is Monetary Policy Gender Neutral? Evidence from the Stock Market

Forti Grazzini, Caterina - 2020

the stock market decreases. On the other hand, monetary policy is gender-neutral for stock market participants: there are …

Persistent link: https://www.econbiz.de/10012843904

Dynamic option-based strategies under downside loss averse preferences

Jalal, Amine (contributor) - 2007

In this paper, dynamic option-based investment strategies are derived and illustrated for investors exhibiting downside loss aversion. The problem is solved in closed form when the stock market exhibits stochastic volatility and jumps. The specification of downside loss averse utility functions...

Persistent link: https://www.econbiz.de/10003550865

Asset Prices with Heterogeneous Loss Averse Investors

Curatola, Giuliano - 2012

This paper considers a general-equilibrium model with loss-aversion in consumption and heterogeneity: there is a continuum of agents, with s-shaped utility, who differ in the time-varying reference level of consumption. Heterogeneity in the reference level is crucial for the existence of the...

Persistent link: https://www.econbiz.de/10013104770

Cumulative Prospect Theory, Myopic Loss Aversion and Momentum Crashes

Docherty, Paul - 2019

Momentum strategies generate significant positive returns over long investment horizons; however these strategies experience infrequent periods of large negative returns. These periods are known as 'momentum crashes'. We demonstrate that the probability of a momentum crash is time-varying,...

Persistent link: https://www.econbiz.de/10012904754

Loss Aversion, Survival and Asset Prices

Easley, David - 2016

This paper studies the wealth and pricing implications of loss aversion in the presence of arbitrageurs with Epstein-Zin preferences. Loss aversion affects an investor's survival prospects mainly through its effect on the investor's portfolio holdings. Loss-averse investors will be driven out of...

Persistent link: https://www.econbiz.de/10013008691

Stock Market Expectations and Risk Aversion of Individual Investors

Lee, Boram - 2015

We study the relationship between stock market return expectations and risk aversion of individuals and test whether the joint effects arising from the interaction of these two variables affect investment decisions. Using data from the Dutch National Bank Household Survey, we find that risk...

Persistent link: https://www.econbiz.de/10013034230

Loss aversion, overconfidence of investors and their impact on market performance evidence from the US stock markets

Bouteska, Ahmed; Regaieg, Boutheina - In: Journal of economics, finance & administrative science 25 (2020) 50, pp. 451-478

Purpose - The current study aims to investigate the impacts of two behavioral biases, namely, loss aversion and overconfidence on the performance of US companies. First, the impact of loss aversion on the economic performance of companies was assessed. Second, the impact of overconfidence on...

Persistent link: https://www.econbiz.de/10012434081

Lottery Stocks in Brazil : Investigating Risk Premium and Investor Behavior

Sifuentes Rocha, Gabriel; Laurini, Márcio - 2023

Lotteries are a curious phenomenon in financial markets, as they seem to contradict traditional utility models that predict rational behavior under uncertainty. Despite this, lotteries continue to attract the interest of many investors who knowingly or unknowingly trade their expectations of...

Persistent link: https://www.econbiz.de/10014349706

Liquidation with self-exciting price impact

Cayé, Thomas; Muhle-Karbe, Johannes - 2014

We study optimal execution with "self-exciting" price impact, where persistent trades not only incur price impact but also increase the execution costs for successive orders. This model is motivated by an equilibrium between fundamental sellers, market makers, and end users. For risk-neutral...

Persistent link: https://www.econbiz.de/10011293738

How Does the Stock Market Value Female Directors? International Evidence

Loy, Thomas R. - 2020

We analyze investors' perception and long-term effects of board gender diversity on firms' stock market performance in … to go beyond the conventional thinking in terms of the business case for gender diversity and broaden the perspective … also in order to incorporate societal and ethical aspects in the strive to board gender equality. Even more so, as our …

Persistent link: https://www.econbiz.de/10012852793

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