کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
884483 912394 2007 19 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Myopic loss aversion, disappointment aversion, and the equity premium puzzle
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Myopic loss aversion, disappointment aversion, and the equity premium puzzle
چکیده انگلیسی

This paper takes a close look at the “behavioural finance” explanations of the equity premium puzzle, namely myopic loss aversion [Benartzi, S., Thaler, R.H.,1995. Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics 110, 73–92] and disappointment aversion [Ang, A., Bekaert, G., Liu, J., 2005. Why stocks may disappoint. Journal of Financial Economics 76, 471–508]. The paper proposes a simple specification of loss and disappointment aversion and brings these theories to the data. The main conclusion is that a highly short-sighted investment horizon is required for the historical equity premium to be explained by loss aversion, while reasonable values for disappointment aversion are found also for long investment horizons; stocks may not only lose in the short term, but also disappoint in the long term.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 64, Issue 2, October 2007, Pages 250–268
نویسندگان
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