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Asset prices under habit formation and reference-dependent preferences

Yogo, Motohiro (contributor) - 2007

Persistent link: https://www.econbiz.de/10003727013

Asset prices under habit formation and reference-dependent preferences

Yogo, Motohiro - In: Journal of business & economic statistics : JBES ; a … 26 (2008) 2, pp. 131-143

Persistent link: https://www.econbiz.de/10003675590

Financial loss aversion illusion

Merkle, Christoph - In: Review of finance : journal of the European Finance … 24 (2020) 2, pp. 381-413

Persistent link: https://www.econbiz.de/10012194936

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 … study. Findings - It was documented that the loss-aversion bias negatively affects the economic performance of companies and …

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

Safety first, loss probability, and the cross section of expected stock returns

Cao, Ji; Rieger, Marc Oliver; Zhao, Lei - In: Journal of economic behavior & organization : JEBO 211 (2023), pp. 345-369

Persistent link: https://www.econbiz.de/10014447506

What happened to the quants in August 2007? : evidence from factors and transactions data

Khandani, Amir E.; Lo, Andrew W. - 2008

Persistent link: https://www.econbiz.de/10003778778

Does it pay to realize tax losses at the year-end?

Lei, Adam Y .C.; Li, Huihua - In: Financial services review : the journal of individual … 22 (2013) 3, pp. 187-209

Persistent link: https://www.econbiz.de/10011305916

What Happened To The Quants In August 2007? : Evidence from Factors and Transactions Data

Khandani, Amir E. - 2008

During the week of August 6, 2007, a number of quantitative long/short equity hedge funds experienced unprecedented losses. It has been hypothesized that a coordinated deleveraging of similarly constructed portfolios caused this temporary dislocation in the market. Using the simulated returns of...

Persistent link: https://www.econbiz.de/10012464182

Portfolio choices : comparative statics under both expected return and volatility uncertainty

Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035

Persistent link: https://www.econbiz.de/10012515634

Chapter 13 Consumption-based asset pricing

Campbell, John Y. - 2003

This chapter reviews the behavior of financial asset prices in relation to consumption. The chapter lists some important stylized facts that characterize U.S. data, and relates them to recent developments in equilibrium asset pricing theory. Data from other countries are examined to see which...

Persistent link: https://www.econbiz.de/10014023858

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