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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 the market and do not affect long-run prices if their portfolio positions are …
Persistent link: https://www.econbiz.de/10013008691
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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 … discrete number of agents. Loss-aversion in consumption induces a kink in the pricing kernel and consequently, jumps in the … market price of risk, stock return, and volatility. An economy populated with only loss-averse agents produces one counter …
Persistent link: https://www.econbiz.de/10013104770
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Loss aversion, survival and asset prices
Easley, David; Yang, Liyan - In: Journal of economic theory 160 (2015), pp. 494-516
Persistent link: https://www.econbiz.de/10011549545
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Portfolio performance under benchmarking relative loss and portfolio insurance : from omega ratio to loss aversion
Tak Wa Ng; Nguyen, Thai - In: ASTIN bulletin : the journal of the International … 53 (2023) 1, pp. 149-183
Persistent link: https://www.econbiz.de/10014247652
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Theoretical asset pricing under behavioral decision making
Vries, Martijn Alexander de - 2022
Persistent link: https://www.econbiz.de/10013263004
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Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices
Buffa, Andrea M - 2018
We study the equilibrium implications of a multi-asset economy in which asset managers are subject to different benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate across assets. Fluctuations in asset managers' capital...
Persistent link: https://www.econbiz.de/10012910534
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Investor Betas
Lewis, Ryan; Santosh, Shrihari - 2021
Investors’ return on their portfolios, as proxied by the market, is a theoretically appealing but empirically unsuccessful asset pricing factor. In practice, many institutional investors choose to deviate substantially from the market portfolio. We propose a simple model in the spirit of...
Persistent link: https://www.econbiz.de/10013249518
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A Note on Myopic Loss Aversion and the Equity Premium Puzzle
Zeisberger, Stefan - 2011
In 1995, Benartzi and Thaler introduced the concept myopic loss aversion to explain the equity premium puzzle. They …
Persistent link: https://www.econbiz.de/10013134250
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Characteristic-Based Mean-Variance Portfolio Choice
Hjalmarsson, Erik - 2009
We study empirical mean-variance optimization when the portfolio weights are restricted to be direct functions of underlying stock characteristics such as value and momentum. The closed-form solution to the portfolio weights estimator shows that the portfolio problem in this case reduces to a...
Persistent link: https://www.econbiz.de/10013155054
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Skewness preferences, asset prices and investor sentiment
Blau, Benjamin - In: Applied economics 49 (2017) 8, pp. 812-822
Persistent link: https://www.econbiz.de/10011810895