全球智库信息集成服务系统(G2TT): Mental Accounting, Loss Aversion, and Individual Stock Returns

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w8190
来源ID	Working Paper 8190
	Mental Accounting, Loss Aversion, and Individual Stock Returns
	Nicholas Barberis; Ming Huang
发表日期	2001-03-01
出版年	2001
语种	英语
摘要	We study equilibrium firm-level stock returns in two economies: one in which investors are loss averse over the fluctuations of their stock portfolio and another in which they are loss averse over the fluctuations of individual stocks that they own. Both approaches can shed light on empirical phenomena, but we find the second approach to be more successful: in that economy, the typical individual stock return has a high mean and excess volatility, and there is a large value premium in the cross-section which can, to some extent, be captured by a commonly used multifactor model.
主题	Financial Economics ; Portfolio Selection and Asset Pricing
URL	https://www.nber.org/papers/w8190
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/565786
推荐引用方式 GB/T 7714	Nicholas Barberis,Ming Huang. Mental Accounting, Loss Aversion, and Individual Stock Returns. 2001.