Loss Aversion, Adaptive Beliefs, and Asset Pricing Dynamics

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Asset Pricing with Loss Aversion∗

Using standard preferences for asset pricing has not been very successful in matching asset price characteristics such as the risk-free interest rate, equity premium and the Sharpe ratio to time series data. Behavioral finance has recently proposed more realistic preferences such as those with loss aversion. Research is starting to explore the implications of behaviorally founded preferences fo...

متن کامل

Gain, Loss and Asset Pricing

In this paper we develop an approach to asset pricing in incomplete markets that gives the modeller the flexibility to control the tradeoff between the precision of equilibrium models and the credibility of no-arbitrage methods. We rule out the existence of investment opportunities that are very attractive to a benchmark investor. The key feature of our approach is the measure of attractiveness...

متن کامل

Loss aversion, survival and asset prices

This paper studies the wealth and pricing implications of loss aversion in the presence of arbitrageurs with Epstein-Zin preferences. Our analysis shows that if loss aversion is the only difference in investors’ preferences, then for empirically relevant parameter values, loss-averse investors will be driven out of the market and do not affect long run prices. The selection process is slow in t...

متن کامل

Cognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets∗

The behavior of agents in financial markets often displays biases or errors; for example, agents frequently do not compute probabilities correctly. However, we argue that these biases/errors are not always reflected in prices. In particular, we hypothesize that agents who make errors in computing probabilities lose confidence in their probability estimates when they face market prices that are ...

متن کامل

Growth Uncertainty, Generalized Disappointment Aversion and Production-based Asset Pricing

We study a production economy with regime switching in the conditional mean and volatility of productivity growth. The representative agent has generalized disappointment aversion (GDA) preferences. We show that volatility risk in productivity growth carries a positive and sizable risk premium in levered equity. Our model can endogenously generate long-run risks in the volatility of consumption...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Advances in Decision Sciences

سال: 2015

ISSN: 2090-3359,2090-3367

DOI: 10.1155/2015/971269