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Benchmark-Based Preferences Make Investors Loss Averse in Bull Markets and Gain Seeking in Bear Markets
16 references·0 citing·34 second hop
Benchmark-Based Preferences Make Investors Loss Averse in Bull Markets and Gain Seeking in Bear Markets (2017)Benchmark-Based Preferences Make Investor…Behavioral finance: insights from experiments I: theory and financial markets (2015)Behavioral finance: insights …Experimental methods: Eliciting risk preferences (2012)Experimental methods: Eliciti…Behavioural finance: the role of psychological factors in financial decisions (2012)Behavioural finance: the role…How loss averse are investors in financial markets? (2010)How loss averse are investors…What Drives the Disposition Effect? An Analysis of a Long‐Standing Preference‐Based Explanation (2009)What Drives the Disposition E…Individual Investor Trading and Stock Returns (2008)Individual Investor Trading a…Loss Aversion Under Prospect Theory: A Parameter-Free Measurement (2007)Loss Aversion Under Prospect …Goals as Reference Points (1999)Goals as Reference PointsAre Investors Reluctant to Realize Their Losses? (1998)Are Investors Reluctant to Re…Expected utility without utility (1996)Expected utility without util…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)The Disposition to Sell Winne…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …The Use of Distribution Functions to Represent Utility Functions (1973)The Use of Distribution Funct…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…The Utility of Wealth (1952)The Utility of WealthJudgment under Uncertainty: Heuristics and Biases (1975)Prospect theory: An analysis of decision under risk (1988)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)Risk Aversion and Incentive Effects (2002)Evidence for countercyclical risk aversion: an experiment with financial professionals (2015)Risk preference shares the psychometric structure of major psychological traits (2017)Are Risk Preferences Stable? (2018)Toward a positive theory of consumer choice (1980)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)All That Glitters: The Effect of Attention and News on the Buying Behavior of Individual and Institutional Investors (2007)Social Foundations of Thought and Action : A Social Cognitive Theory (1985)On the Shape of the Probability Weighting Function (1999)The Economic Psychology of Tax Behaviour (2007)Reference Points and Effort Provision (2011)Risk, Return, and Equilibrium: Empirical Tests (1973)Continuous Auctions and Insider Trading (1985)Noise Trader Risk in Financial Markets (1990)Which Shorts Are Informed? (2007)Do Retail Trades Move Markets? (2008)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Handbook of Emotions (1993)Well-being : the foundations of hedonic psychology (1999)Investor Psychology and Asset Pricing (2001)Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing (2006)Risk Aversion in the Laboratory (2008)Pythagorean fuzzy TODIM approach to multi-criteria decision making (2015)The Framing of Decisions and the Psychology of Choice (1981)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1998Are Investors Reluctant to Realize Their Losses?3,721 cited
  • 1985The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence3,550 cited
  • 1952The Utility of Wealth1,845 cited
  • 2008Individual Investor Trading and Stock Returns1,014 cited
  • 1999Goals as Reference Points1,008 cited
  • 2012Experimental methods: Eliciting risk preferences792 cited
  • 2007Loss Aversion Under Prospect Theory: A Parameter-Free Measurement786 cited
  • 2009What Drives the Disposition Effect? An Analysis of a Long‐Standing Preference‐Based Explanation711 cited
  • 1996Expected utility without utility134 cited
  • 2012Behavioural finance: the role of psychological factors in financial decisions108 cited
  • 2010How loss averse are investors in financial markets?104 cited
  • 2015Behavioral finance: insights from experiments I: theory and financial markets50 cited

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1973
The Use of Distribution Functions to Represent Utility Functions
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