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Myopic loss aversion revisited

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  • Blavatskyy, Pavlo
  • Pogrebna, Ganna
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    Abstract

    In this paper we reexamine several experimental papers on myopic loss aversion by analyzing individual rather than aggregate choice patterns. We find that the behavior of the majority of subjects is inconsistent with the hypothesis of myopic loss aversion.

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    Bibliographic Info

    Article provided by Elsevier in its journal Economics Letters.

    Volume (Year): 104 (2009)
    Issue (Month): 1 (July)
    Pages: 43-45

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    Handle: RePEc:eee:ecolet:v:104:y:2009:i:1:p:43-45

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    Web page: http://www.elsevier.com/locate/ecolet

    Related research

    Keywords: Myopic loss aversion Evaluation period Prospect theory Random error;

    References

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    1. John A. List, 2003. "Does Market Experience Eliminate Market Anomalies?," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 118(1), pages 41-71, February.
    2. Michael Haigh & John List, 2005. "Do professional traders exhibit myopic loss aversion? An experimental analysis," Artefactual Field Experiments 00052, The Field Experiments Website.
    3. Gneezy, U. & Potters, J.J.M., 1996. "An experiment on risk taking and evaluation periods," Discussion Paper, Tilburg University, Center for Economic Research 1996-61, Tilburg University, Center for Economic Research.
    4. Uri Gneezy & Arie Kapteyn & Jan Potters, 2003. "Evaluation Periods and Asset Prices in a Market Experiment," Journal of Finance, American Finance Association, American Finance Association, vol. 58(2), pages 821-838, 04.
    5. John A. List, 2003. "Neoclassical Theory Versus Prospect Theory: Evidence from the Marketplace," NBER Working Papers 9736, National Bureau of Economic Research, Inc.
    6. Durand, Robert B. & Lloyd, Paul & Wee Tee, Hong, 2004. "Myopic loss aversion and the equity premium puzzle reconsidered," Finance Research Letters, Elsevier, Elsevier, vol. 1(3), pages 171-177, September.
    7. Benartzi, Shlomo & Thaler, Richard H, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 110(1), pages 73-92, February.
    8. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, Elsevier, vol. 15(2), pages 145-161, March.
    9. Kobberling, Veronika & Wakker, Peter P., 2005. "An index of loss aversion," Journal of Economic Theory, Elsevier, Elsevier, vol. 122(1), pages 119-131, May.
    10. Bellemare, C. & Krause, M. & Kroger, S. & Zhang, C., 2004. "Myopic Loss Aversion: Information Feedback vs. Investment Flexibility," Discussion Paper, Tilburg University, Center for Economic Research 2004-32, Tilburg University, Center for Economic Research.
    11. Thaler, Richard H, et al, 1997. "The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 112(2), pages 647-61, May.
    12. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, Springer, vol. 5(4), pages 297-323, October.
    13. Langer, Thomas & Weber, Martin, 2005. "Myopic prospect theory vs. myopic loss aversion: how general is the phenomenon?," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 56(1), pages 25-38, January.
    14. Mohammed Abdellaoui, 2000. "Parameter-Free Elicitation of Utility and Probability Weighting Functions," Management Science, INFORMS, INFORMS, vol. 46(11), pages 1497-1512, November.
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    Cited by:
    1. Stefan Zeisberger & Thomas Langer & Martin Weber, 2012. "Why does myopia decrease the willingness to invest? Is it myopic loss aversion or myopic loss probability aversion?," Theory and Decision, Springer, Springer, vol. 72(1), pages 35-50, January.

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