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Myopic loss aversion revisited

  • Blavatskyy, Pavlo
  • Pogrebna, Ganna
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    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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    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1765(09)00113-X
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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    1. Durand, Robert B. & Lloyd, Paul & Wee Tee, Hong, 2004. "Myopic loss aversion and the equity premium puzzle reconsidered," Finance Research Letters, Elsevier, vol. 1(3), pages 171-177, September.
    2. 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.
    3. Gneezy, U. & Kapteyn, A. & Potters, J.J.M., 2002. "Evaluation Periods and Asset Prices in a Market Experiment," Discussion Paper 2002-8, Tilburg University, Center for Economic Research.
    4. John List & Michael Haigh, 2005. "Do professional traders exhibit myopic loss aversion? An experimental analysis," Artefactual Field Experiments 00052, The Field Experiments Website.
    5. John A. List, 2004. "Neoclassical Theory Versus Prospect Theory: Evidence from the Marketplace," Econometrica, Econometric Society, vol. 72(2), pages 615-625, 03.
    6. repec:dgr:kubcen:200432 is not listed on IDEAS
    7. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    8. Mohammed Abdellaoui, 2000. "Parameter-Free Elicitation of Utility and Probability Weighting Functions," Management Science, INFORMS, vol. 46(11), pages 1497-1512, November.
    9. Bellemare, C. & Krause, M. & Kroger, S. & Zhang, C., 2004. "Myopic Loss Aversion : Information Feedback vs. Investment Flexibility," Discussion Paper 2004-32, Tilburg University, Center for Economic Research.
    10. John A. List, 2003. "Does Market Experience Eliminate Market Anomalies?," The Quarterly Journal of Economics, Oxford University Press, vol. 118(1), pages 41-71.
    11. Richard H. Thaler & Amos Tversky & Daniel Kahneman & Alan Schwartz, 1997. "The Effect of Myopia and Loss Aversion on Risk Taking: An Experimental Test," The Quarterly Journal of Economics, Oxford University Press, vol. 112(2), pages 647-661.
    12. Gneezy, U. & Potters, J.J.M., 1996. "An experiment on risk taking and evaluation periods," Discussion Paper 1996-61, Tilburg University, Center for Economic Research.
    13. Kobberling, Veronika & Wakker, Peter P., 2005. "An index of loss aversion," Journal of Economic Theory, Elsevier, vol. 122(1), pages 119-131, May.
    14. Langer, Thomas & Weber, Martin, 2005. "Myopic prospect theory vs. myopic loss aversion: how general is the phenomenon?," Journal of Economic Behavior & Organization, Elsevier, vol. 56(1), pages 25-38, January.
    15. Shlomo Benartzi & Richard H. Thaler, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, Oxford University Press, vol. 110(1), pages 73-92.
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