Myopic loss aversion, disappointment aversion, and the equity premium puzzle
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- 作者：David Fielding ; Livio Stracca
- 关键词：Myopic loss aversion ; Disappointment aversion ; Equity premium puzzle ; Investment horizon ; Reference dependence
- 刊名：Journal of Economic Behavior and Organization
- 出版年：2007
- 出版时间：October 2007
- 年：2007
- 卷：64
- 期：2
- 页码：250-268
- 全文大小：702 K
文摘
This paper takes a close look at the “behavioural finance” explanations of the equity premium puzzle, namely myopic loss aversion [Benartzi, S., Thaler, R.H.,1995. Myopic loss aversion and the equity premium puzzle. Quarterly Journal of Economics 110, 73–92] and disappointment aversion [Ang, A., Bekaert, G., Liu, J., 2005. Why stocks may disappoint. Journal of Financial Economics 76, 471–508]. The paper proposes a simple specification of loss and disappointment aversion and brings these theories to the data. The main conclusion is that a highly short-sighted investment horizon is required for the historical equity premium to be explained by loss aversion, while reasonable values for disappointment aversion are found also for long investment horizons; stocks may not only lose in the short term, but also disappoint in the long term.