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Myopic loss aversion and the equity premium puzzle reconsidered

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  • Durand, Robert B.
  • Lloyd, Paul
  • Wee Tee, Hong
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    File URL: http://www.sciencedirect.com/science/article/B7CPP-4CS4JRJ-3/2/81d7b0b14ececc030f78b33eaec30ed7
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    Bibliographic Info

    Article provided by Elsevier in its journal Finance Research Letters.

    Volume (Year): 1 (2004)
    Issue (Month): 3 (September)
    Pages: 171-177

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    Handle: RePEc:eee:finlet:v:1:y:2004:i:3:p:171-177

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

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    1. Goetzmann, William Nelson & Jorion, Philippe, 1993. " Testing the Predictive Power of Dividend Yields," Journal of Finance, American Finance Association, vol. 48(2), pages 663-79, June.
    2. Kirby, Chris, 1997. "Measuring the Predictable Variation in Stock and Bond Returns," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 579-630.
    3. Nelson, Charles R & Kim, Myung J, 1993. " Predictable Stock Returns: The Role of Small Sample Bias," Journal of Finance, American Finance Association, vol. 48(2), pages 641-61, June.
    4. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March.
    5. Shlomo Benartzi & Richard H. Thaler, 1993. "Myopic Loss Aversion and the Equity Premium Puzzle," NBER Working Papers 4369, National Bureau of Economic Research, Inc.
    6. Michael S. Haigh & John A. List, 2005. "Do Professional Traders Exhibit Myopic Loss Aversion? An Experimental Analysis," Journal of Finance, American Finance Association, vol. 60(1), pages 523-534, 02.
    7. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
    8. Richard H. Thaler, 2008. "Mental Accounting and Consumer Choice," Marketing Science, INFORMS, vol. 27(1), pages 15-25, 01-02.
    9. Tversky, Amos & Kahneman, Daniel, 1992. " Advances in Prospect Theory: Cumulative Representation of Uncertainty," Journal of Risk and Uncertainty, Springer, vol. 5(4), pages 297-323, October.
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    Cited by:
    1. Ă…gren, Martin, 2005. "Myopic Loss Aversion, the Equity Premium Puzzle, and GARCH," Working Paper Series 2005:11, Uppsala University, Department of Economics.
    2. Zeisberger, Stefan & Langer, Thomas & Trede, Mark, 2007. "A note on myopic loss aversion and the equity premium puzzle," Finance Research Letters, Elsevier, vol. 4(2), pages 127-136, June.
    3. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
    4. Pavlo Blavatskyy & Ganna Pogrebna, 2010. "Reevaluating evidence on myopic loss aversion: aggregate patterns versus individual choices," Theory and Decision, Springer, vol. 68(1), pages 159-171, February.
    5. Philip Jagd & Jakob Madsen, 2009. "Myopic loss aversion, bond returns and the equity premium puzzle," Applied Financial Economics, Taylor & Francis Journals, vol. 19(17), pages 1383-1390.
    6. Blavatskyy, Pavlo & Pogrebna, Ganna, 2009. "Myopic loss aversion revisited," Economics Letters, Elsevier, vol. 104(1), pages 43-45, July.

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