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Does Anticipated Regret Affect the Predictability of Stock Returns?

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Listed:
  • Anna Dodonova
  • Yuri Khoroshilov

Abstract

This paper presents a theoretical model that analyses how stock returns are affected by the presence of regret‐averse investors in the market. The model demonstrates how anticipation of regret leads to positive short‐run and negative long‐run correlations of stock returns. In addition, the model predicts a positive correlation between future trading volume and the dispersion of the realized stock returns.

Suggested Citation

  • Anna Dodonova & Yuri Khoroshilov, 2026. "Does Anticipated Regret Affect the Predictability of Stock Returns?," The Financial Review, Eastern Finance Association, vol. 61(1), pages 201-210, February.
    • Handle: RePEc:bla:finrev:v:61:y:2026:i:1:p:201-210
    DOI: 10.1111/fire.70014
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    References listed on IDEAS

    as
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