Jagd, Philip; Madsen, Jakob Brøchner - In: Applied financial economics 19 (2009) 16/18, pp. 1383-1390
In an influential paper Bernatzi and Thaler (1995) (B&T) show that Myopic Loss Aversion (MLA) can explain the equity premium in the US over the period 1926 to 1990. However, bond returns, in their simulations, are based on coupons only. Allowing for capital gains on bonds in the simulations...