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Expectations-Based Reference-Dependent Preferences and Asset Pricing

Pagel, Michaela - 2013

-pricing economy. Expectations-based loss aversion increases the equity premium and decreases the consumption-wealth ratio, because … painful, the agent wants to postpone such cuts to let his reference point decrease. Thus, even though shocks are i.i.d., loss …

Persistent link: https://www.econbiz.de/10013081657

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

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

Time Variations in the Equity Premium : Is It Habit Formation or Loss Aversion?

Monnin, Pierre - 2009

intense debate. Two main families of models claim to solve this puzzle: habit-formation models and loss-aversion models. The … the observed data. The loss aversion model and the internal habit model could fit the observed excess return evolution …

Persistent link: https://www.econbiz.de/10013155300