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What are investors afraid of? : finding the big bad wolf

Alemanni, Barbara; Uberti, Pierpaolo - In: International Journal of Financial Studies : open … 7 (2019) 3/42, pp. 1-12

allocation. Loss aversion per se is a relevant variable in explaining financial risk-taking. …

Persistent link: https://www.econbiz.de/10012039641

Loss aversion around the world : Empirical evidence from pension funds

Xie, Yuxin; Hwang, Soosung; Pantelous, Athanasios A. - In: Journal of banking & finance 88 (2018), pp. 52-62

Persistent link: https://www.econbiz.de/10011962581

Dynamic liability-driven investment under sponsor's loss aversion

Lee, Dong-Hwa; Sung, Jooho - In: Risks : open access journal 12 (2024) 2, pp. 1-14

the loss aversion of a sponsor, who is assumed to be more sensitive to underfunding than overfunding. Through the lens of … prospect theory, we first set up a loss-aversion utility function for a sponsor whose utility depends on the funding ratio in … retirement. We also find that the equity portion of the portfolio increases when a sponsor is less loss-averse or the …

Persistent link: https://www.econbiz.de/10014497331

Consumption and portfolio choice under loss aversion and endogenous updating of the reference level

Bilsen, Servaas van; Laeven, Roger J. A.; Nijman, … - In: Management science : journal of the Institute for … 66 (2020) 9, pp. 3927-3955

Persistent link: https://www.econbiz.de/10012297738

History-dependent risk preferences : evidence from individual choices and implications for the disposition effect

Andrikogiannopoulou, Angie; Papakonstantinou, Filippos - 2015 - June 2015

findings — mild utility curvature, moderate loss aversion, and probability overweighting of extreme outcomes — to a market …

Persistent link: https://www.econbiz.de/10011296081

The Disposition Effect under the Reference Dependent Smooth Model of Ambiguity

Iwaki, Hideki - 2019

The disposition effect is one of the representative puzzles observed in the financial market. Several theoretical explanations for the disposition effect have been tried, but we cannot yet say that they have been successful. The seminal paper of Barberis and Xiong (2009), which tries to explain...

Persistent link: https://www.econbiz.de/10012862541

Measuring the Disposition Effect

De Winne, Rudy - 2020

Despite hundreds of papers confirming the existence of the disposition effect, too little attention has been devoted to the prevailing arguments on the choice of a given method to measure it. This paper fills this gap and compares different measurement approaches. First, based on empirical and...

Persistent link: https://www.econbiz.de/10012844058

Value Functions for Prospect Theory Investors : An Empirical Evaluation for US Style Portfolios

Spyrou, Spyros I. - 2015

We employ two reward and risk measures, the Upper Partial Moment and the Lower Partial Moment, in order to maximize different value functions under the budget and the short-selling constraints. We find that agents seem to prefer small capitalization and high value stock portfolios (which are...

Persistent link: https://www.econbiz.de/10013021428

Decomposing the disposition effect

Maier, Johannes K.; Fischer, Dominik Simon - 2021

We theoretically show that there is a fundamental disconnect be- tween the disposition effect, i.e., investors’ tendency to sell winning assets too early and losing assets too late, and its common empirical measure, namely a positive difference between the proportion of gains and losses re-...

Persistent link: https://www.econbiz.de/10012648374

Reaching for Yield : Evidence from Households

Gomes, Francisco J.; Peng, Cameron; Smirnova, Oksana; … - 2022

prospect theory, reaching for yield is more pronounced when investors are trading at a loss. Finally, we discuss the phenomenon …

Persistent link: https://www.econbiz.de/10014236046