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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
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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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Household Portfolios, Monetary Policy and Asset Prices
Leombroni, Matteo; Rogers, Ciaran - 2021
In this paper we study the role of household portfolio rebalancing channel for the aggregate and redistributive effects of monetary policy. The transmission of monetary policy works not only through the usual income and substitution motives, but also through an endogenous portfolio rebalancing...
Persistent link: https://www.econbiz.de/10013321564
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Diminishing marginal myopic loss aversion : a stress test on investment games experiments
Ponti, Giovanni; Tomás, Josefa - In: Journal of economic behavior & organization : JEBO 190 (2021), pp. 125-133
Persistent link: https://www.econbiz.de/10013184084
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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
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Asset Pricing Based on S-Shaped Consumption Utility
Ju, Gaosheng; Li, Qi - 2021
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...
Persistent link: https://www.econbiz.de/10013244255
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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
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Permanent Income Hypothesis with Income Disaster and Asset Pricing
Park, Seyoung - 2022
We study the impact of income disaster-which can be triggered by various reasons such as pandemics and technological disruption-on Friedman's permanent income hypothesis. Although the hypothesis is still retained, our general equilibrium model offers two insights. First, with income disaster the...
Persistent link: https://www.econbiz.de/10013306994
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Saving-based asset pricing and leisure
Dreyer, Johannes Kabderian; Schneider, Johannes; Smith, … - In: Annals of economics and finance 21 (2020) 2, pp. 507-526
Persistent link: https://www.econbiz.de/10012647888
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Multivariate crash risk
Chabi-Yo, Fousseni; Huggenberger, Markus; Weigert, Florian - 2021 - This version: May 21, 2021
This paper investigates whether multivariate crash risk (MCRASH), defined as exposure to extreme realizations of multiple systematic factors, is priced in the cross-section of expected stock returns. We derive an extended linear model with a positive premium for MCRASH and we empirically confirm...
Persistent link: https://www.econbiz.de/10012585546