No open-access location is known for this record yet.
No open-access location is known for this record yet.
We use various stochastic dominance criteria that account for (local) risk seeking to analyze market portfolio efficiency relative to benchmark portfolios formed on market capitalization, book-to-market equity ratio and price momentum. Our results suggest that reverse S-shaped utility functions with risk aversion for losses and risk seeking for gains can explain stock returns. The results are also consistent with a reverse S-shaped pattern of subjective probability transformation. The low average yield on big caps, growth stocks, and past losers may reflect investors’ twin desire for downside protection in bear markets and upside potential in bull markets.
Loading…
Stored only when both papers are in the corpus — 175 citations exist upstream.
Papers that cite the same references — the relational fallback while embeddings are still backfilling.
Imported from OpenAlex (CC0) — nothing here is generated.