This paper concerns the distributional assumptions made on stock returns in the myopic loss aversion (MLA) proposed explanation to the equity premium puzzle. While Benartzi and Thaler (1995) assume temporal independence in these returns, we introduce a more realistic assumption incorporating...

We examine generational differences in risk-taking behavior by means of a laboratory experiment with monetary incentives. We estimate the parameterized models in the framework of cumulative prospect theory and examine the risk aversion, probability weightings and reference point adoption of...