Mental Accounting, Loss Aversion, And Individual Stock Returns / Discussion  

Oleh:

Barberis, Nicholas ; Ming, Huang ; Brennan, M.J.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 4 (2001), page 1247-1295.
Topik: stock returns; studies; rates of return; risk aversion; investment policy
Fulltext: p 1247.pdf (260.44KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Equilibrium firm - level stock returns are studied in 2 economies : one in which investors are loss averse over the fluctuations of their stock portfolios, and another in which they are loss averse over the fluctuations of individual stocks that they own. Both approaches can shed light on empirical phenomena, but the second approach is found to be more successful : in that economy, the typical individual stock return has a high mean and excess volatility, and there is a large value premium in the cross section which can, to some extent, be captured by a commonly used multi - factor model.

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