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 …

Loss aversion has been shown to be an important driver of people’s investment decisions. Encouraged by regulators …, financial institutions are in search of ways to incorporate clients’ loss aversion in their risk classifications. The most … critical obstacle appears to be the lack of a valid measurement method for loss aversion that can be straightforwardly …

Narrow bracketing in combination with loss aversion has been shown to reduce individual risk-taking. This is known as … myopic loss aversion (MLA) and has been corroborated by many studies. Recent evidence has contested this notion indicating …

Using detailed mutual fund holdings in the US market, we estimate active mutual fund managers’ loss aversion as a … function of both funds’ past performance and asset allocations. We document a substantial variation in loss aversion over time …. We further find managers' loss aversion is higher when past fund flows were high and lower when past fund flows were …

financial decisionmaking. In this paper we present a simple model based on loss aversion that can accommodatefor all of these …

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 …

This paper considers a general-equilibrium model with loss-aversion in consumption and heterogeneity: there is a … discrete number of agents. Loss-aversion in consumption induces a kink in the pricing kernel and consequently, jumps in the … market price of risk, stock return, and volatility. An economy populated with only loss-averse agents produces one counter …

This research examines capital income taxation for a loss averse investor under some acceptable in the literature … the attractive full loss offset provisions. However, risk taking can be stimulated if the investor interprets part of the … tax as a loss instead as a reduced gain. Then investor becomes risk seeking and moves away from the discomfort zone of …

framework of myopic loss aversion. Under this framework, traditional momentum strategies are no longer anomalous and risk … the impact of myopia over an international sample. Consistent with the predictions of myopic loss aversion, we find that … the momentum premium is higher for countries that are predisposed to myopia. We therefore argue that myopic loss aversion …