Using trading data from Finland and the US, I empirically show that investors tend to buy riskier stocks following realized losses. The measure of risk that the investors seem to pay attention to is the market beta of a stock. This behavior of buying higher beta stocks after a realized loss is...

We identify the S-Shaped consumption utility by reconciling consumption decisions with asset returns. Different from the concave-shaped utility, the S-shaped consumption utility predicts a possible negative correlation between low quantiles of consumption growth and asset returns, for which we...

This paper shows that consumption-based asset pricing puzzles arise from using globally concave-shaped consumption utility. We empirically find that asset returns correlate negatively with many individuals' low-quantile consumption growth. This finding challenges most mainstream models and...

Utilizing the asset pricing framework, we justify S-shaped consumption utility functions by reconciling realized consumption with asset returns. The S-shaped consumption utility predicts a possible negative correlation between asset returns and lower quantiles of consumption growth, for which we...

In an experimental setting in which investors can entrust their money to traders, we investigate how compensation schemes affect liquidity provision and asset prices. Investors face a trade-off between risk and return. At the benefit of a potentially higher return, they can entrust their money...

We find that periods of elevated EPU are associated with higher analyst disagreement, a decrease in forecast accuracy, and a higher degree of conservatism. We show that the decrease in forecast accuracy can be partially attributed to limited attention. A higher level of EPU attracts analysts’...

This paper develops a behavioural asset pricing model in which traders are not fully rational as is commonly assumed in the literature. The model derived is underpinned by the notion that agents' preferences are affected by their degree of optimism or pessimism regarding future market states. It...

We consider portfolio selection under nonparametric alpha-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion.Implied demand functions are nondifferentiable, resemble observed bid-ask spreads, and are...

This paper examines the prediction that human behavior changes the outcome of market predictability, indicated by a difference in asset pricing model estimated prediction error, calculated using the Sharpe ratio, Jensen's alpha, and the Treynor measure for publicly traded firms in the consumer...

This paper examines the aggregate effects of regret in a market where investors maximize expected return while minimizing anticipated regret. In equilibrium, the excess return on a risky asset is proportional to its “regret beta” that is defined with respect to the gap between the market...