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Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs
16 references·16 citing·32 second hopsampled
Does Risk Seeking Drive Stock Prices? A Stochastic Dominance Analysis of Aggregate Investor Preferences and Beliefs (2005)Does Risk Seeking Drive Stock Prices? A S…Prospect Theory and Asset Prices (2001)Prospect Theory and Asset Pri…Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk (2000)Developments in Non-Expected …Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Behavioral Portfolio Theory (2000)Behavioral Portfolio TheoryMyopic Loss Aversion and the Equity Premium Puzzle (1995)Myopic Loss Aversion and the …Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Returns to Buying Winners and…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …The equity premium: A puzzle (1985)The equity premium: A puzzleProspect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION* (1965)SECURITY PRICES, RISK, AND MA…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…The Utility of Wealth (1952)The Utility of WealthThe Utility Analysis of Choices Involving Risk (1948)The Utility Analysis of Choic…Review on Efficiency and Anomalies in Stock Markets (2020)Review on Efficiency and Anom…Unknown Unknowns: Uncertainty About Risk and Stock Returns (2018)Unknown Unknowns: Uncertainty…Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange (2015)Is gold different for risk-av…The Impact of Brand Rating Dispersion on Firm Value (2013)The Impact of Brand Rating Di…Portfolio optimization in an upside potential and downside risk framework (2013)Portfolio optimization in an …Test statistics for prospect and Markowitz stochastic dominances with applications (2011)Test statistics for prospect …Do investors like to diversify? A study of Markowitz preferences (2011)Do investors like to diversif…Improved Portfolio Choice Using Second Order Stochastic Dominance (2010)Improved Portfolio Choice Usi…Testing for Stochastic Dominance Efficiency (2009)Testing for Stochastic Domina…Gains from diversification on convex combinations: A majorization and stochastic dominance approach (2009)Gains from diversification on…Is the Distribution of Stock Returns Predictable? (2008)Is the Distribution of Stock …Stochastic dominance analysis of Asian hedge funds (2007)Stochastic dominance analysis…Risk aversion and skewness preference (2007)Risk aversion and skewness pr…Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio (2007)Multivariate Tests for Stocha…Stochastic dominance theory for location-scale family (2006)Stochastic dominance theory f…Stochastic dominance and mean–variance measures of profit and loss for business planning and investment (2006)Stochastic dominance and mean…Prospect theory: An analysis of decision under risk (1988)Status quo bias in decision making (1988)Do Investors Trade Too Much? (1999)Familiarity Breeds Investment (2001)Investor Psychology and Asset Pricing (2001)Risk, Return, and Equilibrium: Empirical Tests (1973)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Does the Stock Market Overreact? (1985)Multifactor Explanations of Asset Pricing Anomalies (1996)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Toward a positive theory of consumer choice (1980)Risk as feelings. (2001)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Framing of Decisions and the Psychology of Choice (1981)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1948The Utility Analysis of Choices Involving Risk3,097 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1995Myopic Loss Aversion and the Equity Premium Puzzle2,486 cited
  • 1965SECURITY PRICES, RISK, AND MAXIMAL GAINS FROM DIVERSIFICATION*2,451 cited
  • 2000Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk1,902 cited
  • 2001Prospect Theory and Asset Prices1,876 cited
  • 1952The Utility of Wealth1,845 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited

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Behavioral Portfolio Theory
1,040 cited

Cited by

  • 2006Stochastic dominance and mean–variance measures of profit and loss for business planning and investment164 cited
  • 2018Unknown Unknowns: Uncertainty About Risk and Stock Returns149 cited
  • 2007Risk aversion and skewness preference136 cited
  • 2007Stochastic dominance analysis of Asian hedge funds136 cited
  • 2013The Impact of Brand Rating Dispersion on Firm Value125 cited
  • 2009Testing for Stochastic Dominance Efficiency96 cited
  • 2020Review on Efficiency and Anomalies in Stock Markets89 cited
  • 2011Test statistics for prospect and Markowitz stochastic dominances with applications87 cited
  • 2010Improved Portfolio Choice Using Second Order Stochastic Dominance87 cited
  • 2009Gains from diversification on convex combinations: A majorization and stochastic dominance approach80 cited
  • 2011Do investors like to diversify? A study of Markowitz preferences76 cited
  • 2007Multivariate Tests for Stochastic Dominance Efficiency of a Given Portfolio75 cited
  • 2008Is the Distribution of Stock Returns Predictable?72 cited
  • 2015Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange70 cited
  • 2013Portfolio optimization in an upside potential and downside risk framework52 cited
  • 2006Stochastic dominance theory for location-scale family51 cited